Dear John,
I have to disagree with your first statement.
Ordinary Least Squares (OLS), and Two Stage Least Squares are closely
related (2SLS).
2SLS is a method that consist on running OLS in two stages.
First :
Run OLS on the reduced form equations for each endogenous variable that
appear as explanatory variables in the structural equations in the system
Second:
Substitute the reduced-form Y's (instrumental variables) for the Ys that
appear on the right side (only) of the structural equations, and then
estimate these revised structural equations with OLS.
For a person with no econometrics background it may sound strange but OLS
is based on a least squares approach but additional tests are added such as
Durbin Watson, etc.
Although I am not familiar with the R sem library, I do agree that 2SLS
should be easy to implement from scratch.
Thanks
Daniel J Celta Ph.D.
Project Valuation - Special Valuations
561 691 7653
"John Fox"
<jfox@mcmaster.ca> To:
Daniel_J_Celta@fpl.com, "'Neil Hepburn'" <nhepburn@ualberta.ca>
Sent by: cc:
s-news@lists.biostat.wustl.edu
s-news-owner@lists.biosta Subject: Re: [S] Two
stage least squares
t.wustl.edu
07/22/2006 10:06 AM
Dear Daniel and Neil,
I'm not sure what the OLS function in Finmetrics does, but the name doesn't
suggest 2SLS.
Although I haven't tried it, you could probably port the tsls function in
the R sem package to S-PLUS with little effort. Indeed, programming 2SLS
from scratch shouldn't be too hard, since the calculations are very simple.
I hope this helps,
John
--------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox
--------------------------------
> -----Original Message-----
> From: s-news-owner@lists.biostat.wustl.edu
> [mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of
> Daniel_J_Celta@fpl.com
> Sent: Wednesday, July 19, 2006 8:35 PM
> To: Neil Hepburn
> Cc: s-news@lists.biostat.wustl.edu
> Subject: Re: [S] Two stage least squares
>
> Neil
> Try the Finmetrics library. There is an OLS function that
> may do the trick.
>
> Daniel J Celta
> Project Valuation - Special Valuations
> 561 691 7653
>
>
>
>
>
> "Neil Hepburn"
>
>
> <nhepburn@ualberta.ca> To:
> s-news@lists.biostat.wustl.edu
>
> Sent by: cc:
>
>
> s-news-owner@lists.biosta
> Subject: [S] Two stage least squares
>
> t.wustl.edu
>
>
>
>
>
>
>
>
> 07/19/2006 08:40 PM
>
>
>
>
>
>
>
>
>
>
>
>
> I'm looking for a library to do two stage least squares in
> S-Plus. I've found the sem library for R but have not found
> anything for S-Plus. Anyone got any ideas?
>
> Cheers,
> Neil
>
>
> =============================================
> Neil Hepburn, Economics Instructor
> Department of Social Sciences, Augustana Faculty University
> of Alberta Camrose, Alberta
>
> Email nhepburn@ualberta.ca
> URL http://www.augustana.ca/programs/profs/nhepburn/
>
>
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