Two Stage Least Squares

[bstevenson]

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!

[Norman21]

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

Norman.

[Rick_SAS]

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.