Hello pink_poodle. Thank you for your email. I provided a copy of the page out of the SAS guide. Below that is my 3SLS code. scott *Below is the copied text: * *Page. 2112 F Chapter 29: The SYSLIN Procedure* In this system, quantity demanded depends on price, income, and the price of substitutes. Consumers normally purchase more of a product when prices are lower and when income and the price of substitute goods are higher. Quantity supplied depends on price and the unit cost of production. Producers supply more when price is high and when unit cost is low. The actual price and quantity sold are determined jointly by the values that equate demand and supply. Since price and quantity are jointly endogenous variables, both structural equations are necessary to adequately describe the observed values. A critical assumption of OLS is that the regressors are uncorrelated with the residual. When current endogenous variables appear as regressors in other equations (endogenous variables depend on each other), this assumption is violated and the OLS parameter estimates are biased and inconsistent. The bias caused by the violated assumptions is called simultaneous equation bias. Neither the demand nor supply equation can be estimated consistently by OLS. *Variables in a System of Equations* Before explaining how to use the SYSLIN procedure, it is useful to define some terms. The variables in a system of equations can be classified as follows: • *Endogenous variables, *which are also called jointly dependent or response variables, are the variables determined by the system. Endogenous variables can also appear on the right-hand side of equations. •* Exogenous variables* are independent variables that do not depend on any of the endogenous variables in the system. • *Predetermined variables *include both the exogenous variables and lagged endogenous variables, which are past values of endogenous variables determined at previous time periods. PROC SYSLIN does not compute lagged values; any lagged endogenous variables must be computed in a preceding DATA step. • *Instrumental variables* are predetermined variables used in obtaining predicted values for the current period endogenous variables by a first-stage regression. The use of instrumental variables characterizes estimation methods such as two-stage least squares and three-stage least squares. Instrumental variables estimation methods substitute these first-stage predicted values for endogenous variables when they appear as regressors in model equations. Using PROC SYSLIN First specify the input data set and estimation method in the PROC SYSLIN statement. If any model uses dependent regressors, and you are using an instrumental variables regression method, declare the dependent regressors with an ENDOGENOUS statement and declare the instruments with an INSTRUMENTS statement. Next, use MODEL statements to specify the structural equations of the system. The data is from an experimental auction: The endogenous variables are winning prices. The instrument variables are lagged winning prices and structural characteristics of the auction mechanism. Ten independent auctions were held. So for instance, *Size* is the number of subjects in a particular auction. Number of subjects participating varied across the ten auctions held. The model statements represent the prices of the winning bids for the 3 meat products being auctioned. Note: endogenous variables are included on the right hand side of the model startment (bolded). The other right hand side variables are exogenous variables representing information from a demographic survey completed by subjects just prior to the auction. proc syslin data=a 3sls ; *endogenous* prBIS prBF93 PrBF80; *instruments * lagprbis lagpr80 lagpr93 dum80 dum93 *SIZE* dumround2 dumround3 dumround4 dumround5 ; Beef80: model PrBF80= *prBIS prBF93* biscorrect B93correct BNI b80text b80juice b80flav Q10 Q15 Q16 female /overid; Beef93: model prBF93 = *prBIS PrBF80* biscorrect B80correct BNI b93text b93juice b93flav Q10 Q15 Q16 female / overid; Bison: model prBIS = *prBF93 PrBF80* b80correct b93correct BNI bistext bisjuice bisflav Q10 Q15 Q16 female Dumbybis /overid; run; Sorry for taking so long to reply. Work has been very busy.
... View more
