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st: Ols vs 2sls coefficients


From   Shyam Kumar <Shyam_Kumar@baruch.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Ols vs 2sls coefficients
Date   Mon, 01 Dec 2003 13:51:11 -0500

Hi everyone:

 

I have two structural equations of the following form:

Y1= a Y2+ b X1
Y2= c Y1+ d X2

I first estimated these two equations using OLS (i.e. ignoring
endogeneity). Next I estimated them using 2sls. Essentially what
happened was the endogeneous variables (Y2,Y1) changed signs (went
from positive significant to negative significant). I was wondering if
this was cause for concern. Does it reflect some underlying problems
with the data/ model? Or is this just an outcome of endogeneity? I
should mention 3sls produced coefficients with the same signs as 2sls.
Any insight would be much appreciated.

Thanks!

 




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