我是計量白癡 - 經濟
By Kumar
at 2011-06-03T05:08
at 2011-06-03T05:08
Table of Contents
※ 引述《pths40 (不信蒼生)》之銘言：
: 小弟才疏學淺 在此請教各位前輩
: model:
: y1=alpha1+alpha2*y2+alpha3*y3+alpha4*x1
: y2=beta1+beta2*x2
: y3=gamma1+gamma2*x3
: which one could be solve by 2SLS and how?
: are the estimates unbias? consistent?
: 小弟想法是y1
: 1: OLS predict haty2 & haty3
: 2: OLS reg y1 haty2 haty3 x1
: unbias and consistent since it's OLS
2SLS will be consistent but not unbiased
the reason is haty2 and haty3 are estimated, so it's impossible to be unbiased
--
一蕭一劍平生意
負盡狂名十八年
--
: 小弟才疏學淺 在此請教各位前輩
: model:
: y1=alpha1+alpha2*y2+alpha3*y3+alpha4*x1
: y2=beta1+beta2*x2
: y3=gamma1+gamma2*x3
: which one could be solve by 2SLS and how?
: are the estimates unbias? consistent?
: 小弟想法是y1
: 1: OLS predict haty2 & haty3
: 2: OLS reg y1 haty2 haty3 x1
: unbias and consistent since it's OLS
2SLS will be consistent but not unbiased
the reason is haty2 and haty3 are estimated, so it's impossible to be unbiased
--
一蕭一劍平生意
負盡狂名十八年
--
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經濟
All Comments
By Jacky
at 2011-06-05T03:03
at 2011-06-05T03:03
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