2SLS regression - multiple endogenous variable

[Takdir]

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 ?

[kessler]

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.

[Takdir]

but how do i assign different instrumental variables to different endogenous variables? like how to separate them to their respective endogenous variable ?

[kessler · Accepted solution]

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;