2SLS Robustness test

ADou · Posted 02-09-2019 05:58 PM

Hi experts,

Now I have my dependent variable y, and independent variables x1,x2,x3,x4. I have an instrument variable for x1 which is x5 and I want to do 2SLS regression to test robustness. I want my first stage to be:

x1=a1x5+a2x2+a3x3+a4x4;

and my second stage regression is：

y=a1x1'+a2x2+a3x3+a4x4,where x1' is the fitted value of the first stage.

How to do this in SAS? Thanks a lot!!!

mkeintz · Posted 02-11-2019 08:27 AM

@ADou

I suggest you move your topic to the "Analytics and Statistics" collection of forums. In that collection, you could choose the "statistical procedures" forum, but I'd recommend the "SAS forecasting and econometrics" forum. That's where the experts you need will likely be.

--------------------------
The hash OUTPUT method will overwrite a SAS data set, but not append. That can be costly. Consider voting for Add a HASH object method which would append a hash object to an existing SAS data set

Would enabling PROC SORT to simultaneously output multiple datasets be useful? Then vote for
Allow PROC SORT to output multiple datasets

--------------------------

2SLS Robustness test

Re: 2SLS Robustness test

Ready to join fellow brilliant minds for the SAS Hackathon?

Click image to register for webinar

Classroom Training Available!