Hello Everyone, I found a potential inconsistent estimation or am I missing anything here? I was estimating a 2SLS model with just-identify number of instrumental variables (SAS 9.3 M2). I first use : proc reg data=allindq outest=a;
model maxe = x disper2 rev me btm tradvol Alpha car ar ivmaxe;
quit; I also ran : proc syslin data=allindq 2sls first;
endogenous maxe;
instruments x disper2 rev me btm tradvol Alpha car ar ivmaxe;
model y= x disper2 rev me btm tradvol Alpha car ar maxe;
run; However, the first stage results from proc syslin and the results from proc reg are very different (different from each other from 0.01). In theory, the first stage of 2sls is an ols. Therefore the proc reg should give the same results as the first stage of proc syslin. However it didnt happen. Could anybody please help with this? Thank you!
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