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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
re: Re: Re: RE: re:Re: st: Multiple endogenous regressors |

Date |
Fri, 21 Oct 2011 15:51:47 -0400 |

<> Yuval said Moreover, take for example the following system of Kensian (sic) equations: C=a+bY+u Y=C+I Note, that the only way to get consistent estimates in this case is by the ILS (you cannot employ here the 2SLS) I''m sure the inability to use 2SLS on a simple Keynesian model will come as a surprise to those of us who write econometrics lecture notes and textbooks, as it is one of the most common textbook examples of IV. An empirical counterexample: . webuse klein . ivregress 2sls consump (totinc = invest) Instrumental variables (2SLS) regression Number of obs = 22 Wald chi2(1) = 24.24 Prob > chi2 = 0.0000 R-squared = 0.8430 Root MSE = 2.8442 ------------------------------------------------------------------------------ consump | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- totinc | .4593425 .0932901 4.92 0.000 .2764971 .6421878 _cons | 26.07967 5.571562 4.68 0.000 15.15961 36.99973 ------------------------------------------------------------------------------ Instrumented: totinc Instruments: invest Apparently Yuval did not take my response to his point (4) too seriously. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: Re: Re: RE: re:Re: st: Multiple endogenous regressors***From:*Yuval Arbel <yuval.arbel@gmail.com>

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