2-stage regression with more than 2 models

[maxime]

Hi everyone,

I have been trying for days to make a 2-stage regression on SAS 9.3, but I don’t think it’s the right tool for what I want to do. I want to estimate 3 models, which are not independent from each other, in the same regression. My professor told me to do a 2SLS, so I tried to do it, but in the second stage I only have one dependent variable estimated. The syslin procedure does not sound adapted to my case, from what I read online and experienced.

I’m using time-series data. Here are the 3 models, with a simple reg procedure.

proc reg data=Data.data;

model log(DepVar1) = log(Exogenous1) log(DepVar2) Dummy1 Dummy2 Dummy3 Dummy4 InstrumentVar;

run;

proc reg data=Data.data;

   model log(DepVar2) = log(Exogenous1) log(DepVar1/DepVar3) Dummy1 InstrumentVar1 InstrumentVar2;

run;

proc reg data=Data.data;

   model log(DepVar3) = lag(log(DepVar3)) log(Exogenous 1);

run;

And here is the syslin procedure, that gives interesting results but does not estimate DepVar2 and DepVar3 in the second stage.

proc syslin data=Data.data 2sls first;

endogenous logcargoYield;

instruments log(Exogenous1) log(Exogenous2)  Dummy1 Dummy2 Dummy3 Dummy4 InstrumentVar log(DepVar1/DepVar3) log(DepVar3)  lag(log(DepVar3));

model log(DepVar1) = log(Exogenous1) log(DepVar2) Dummy1 Dummy2 Dummy3 Dummy4 InstrumentVar;

model log(DepVar2) = log(Exogenous1) log(DepVar1/DepVar3) Dummy1 InstrumentVar1 InstrumentVar2;

model log(DepVar3) = lag(log(DepVar3)) log(Exogenous 1) ;

run;

Does someone have an idea of what procedure I could use ?

Thanks for any advice!

[SteveDenham]

I don't really have a clue how to help, but try posting this in the Forecasting forum.  The folks there, esp may be able to help you out.

Steve Denham

[maxime]

Thank you Steve, I'll try posting this on the forecasting forum then.