Programming the statistical procedures from SAS

Problem of endogeneity in panel regression (TSCSREG)

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Problem of endogeneity in panel regression (TSCSREG)

Dear All,

I'm using the TSCSREG procedure in SAS to estimate a fixed/random effects model of the form:

y(t+1) = b0 + b1*x1(t) + ... + e(t)

The problem is that the some of the IVs are in fact, dependent on a) each other; and b) on the dependent variable. That is, e.g.,

xi(t)=f( xj(t) ) (a)

xi(t)=f( y(t) ) (b)

Is there a way to control for the endogeneity so that biased estimates will not occur? How is this done in TSCSREG or other SAS procedures (e.g. MIXED)?

Or do I have to find alternative IVs so as to circumvent the problem?

Thank you very much!
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