topic Re: Two Stage Least Squares in SAS Procedures

Two Stage Least Squares

bstevenson — Thu, 04 Feb 2016 23:58:01 GMT

If you have SAS/STAT but not SAS/ETS, is there a proc available to do two stage least squares? Also is there a good way to conduct a Hausman test in SAS/STAT? Thanks!

Re: Two Stage Least Squares

Norman21 — Fri, 05 Feb 2016 05:56:13 GMT

You could try using R... http://novicemetrics.blogspot.co.uk/2010/05/two-stage-least-squares.html

Norman.

Re: Two Stage Least Squares

Rick_SAS — Fri, 05 Feb 2016 14:08:49 GMT

If you had SAS/ETS, you could use a single call to PROC SYSLIN.

Although I am not an expert in this area, I believe you can call PROC REG twice to perform this analysis,

based on comments in Using SAS for Econometrics, which is the SAS supplement to Hill, Griffiths and Lim, Principles of Econometrics, 4th ed. Here is a link to the Chapter 10 exercises, which compare 2-stage PROC REG with PROC SYSLIN.

From the Chapter 10 code, it looks like you use PROC REG to generate residuals for the first stage, and you call PROC REG again and use those residuals in the second stage regression to get Hausman's test.