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Posted 02-08-2019 04:07 PM
(2589 views)

I have to perform a 2 SLS regression with multiple endogenous variable.

1st endogenous variable: a

Instrument variable for 1st endogenous variable: b c d

2nd endogenous variable: p

Instrument variable for 2nd endogenous variable: q r s

My final model: y = a p b c d q r s.

is there any simple way to do it?

for example using proc syslin or something like that ?

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Typically, when there is only one dependent variable in your model you use all the instrumental variables to instrument both endogenous variables; however, if you want to limit which instrumental variables are used to correct for the endogeneity of each endogenous explanatory variable you could use the following:

proc tmodel data=yourdata;

eq.a = y - ka*a;

eq.p = y - kp*p;

fit a p / ols 2sls;

instruments (a, b c d) (p, q r s);

quit;

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In both PROC MODEL and its multithreaded replacement, PROC TMODEL, you can estimate your model using two stage least squares with the following statements:

proc tmodel data=yourdata;

y = ka*a + kp*p;

fit y / 2sls;

instruments b c d q r s;

quit;

Let me know if you need any further clarifications on how to use PROC (T)MODEL for your problem.

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Typically, when there is only one dependent variable in your model you use all the instrumental variables to instrument both endogenous variables; however, if you want to limit which instrumental variables are used to correct for the endogeneity of each endogenous explanatory variable you could use the following:

proc tmodel data=yourdata;

eq.a = y - ka*a;

eq.p = y - kp*p;

fit a p / ols 2sls;

instruments (a, b c d) (p, q r s);

quit;

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