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