Description Usage Arguments Details Value References Examples
Function to estimate a linear model by the two stage least squares method.
1 |
g |
A formula describing the linear regression model (see details below). |
x |
The matrix of instruments (see details below). |
data |
A data.frame or a matrix with column names (Optionnal). |
The function just calls gmm
with the option vcov="iid". It just simplifies the the implementation of 2SLS. The users don't have to worry about all the options offered in gmm
. The model is
Y_i = X_iβ + u_i
In the first step, lm
is used to regress X_i on the set of instruments Z_i. The second step also uses lm
to regress Y_i on the fitted values of the first step.
'tsls' returns an object of 'class' '"tsls"' which inherits from class '"gmm"'.
The functions 'summary' is used to obtain and print a summary of the results. It also compute the J-test of overidentying restriction
The object of class "gmm" is a list containing at least:
coefficients |
k\times 1 vector of coefficients |
residuals |
the residuals, that is response minus fitted values if "g" is a formula. |
fitted.values |
the fitted mean values if "g" is a formula. |
vcov |
the covariance matrix of the coefficients |
objective |
the value of the objective function \| var(\bar{g})^{-1/2}\bar{g}\|^2 |
terms |
the |
call |
the matched call. |
y |
if requested, the response used (if "g" is a formula). |
x |
if requested, the model matrix used if "g" is a formula or the data if "g" is a function. |
model |
if requested (the default), the model frame used if "g" is a formula. |
algoInfo |
Information produced by either |
Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029-1054,
1 2 3 4 5 6 7 8 9 10 11 12 13 14 |
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