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threesls

Three-Stage Least-squares Regression

CALLING SEQUENCE

[results]=threesls(arg1,...,argn)

PARAMETERS

Input

* argi= arguments which can be:

  - an equation of the following form:

  'vary = coef1*varx1+...+coefi*varxi' where:

    . coefi = the name of a coefficient

    . varxi = the name of a variable

  - 'coef=coef1;coef2;...coefn' where coef1,...,coefn are the names of the coefficients in the system (optional; default: 'coef=a1;...,an')

  - 'endo =[endo1;...;endon]' where endo1,...,endon are the names of the endogenous variables (optional; necessary if the names of the endogenous variables in the rhs of the equations are not the same as those of the lhs; default: the names of all the lhs sides of the equations)

  - the string 'noprint' if you do not want to print the results

  - the string 'dropna' if the user wants to remove the NA values from the data

 

Output

* results = a results tlist with:

  - results('meth') = 'threesls'

  - results('namecoef') = the matrix of the names of the coefficients

  - results('riv1'),...,results('rivn) = the results of the iv estimation for each equation (see iv for more details).

DESCRIPTION

Computes Three-Stage Least-squares Regression.

EXAMPLE

x1 =  rand(100,1,'n')
x2 =  rand(100,1,'n')
x3 =  rand(100,1,'n')
 
evec =  rand(100    ,3,'n')
evec(:,2) = evec(:,3) +  evec(:,2)
// create cross-eqs corr
 
// create simultaneously determined variables y1,y2
y1=10+x1+evec(:,1)
y2=10+y1*0.5+x2*2+evec(:,2)
y3=10+y2*1.5+x2*3+x3*4+evec(:,3)
 
 
r=threesls('y1=a1+b1*x1','y2=a2+b2*x2+c2*y1','y3=a3+b3*x3+c3*y2+d3*x2',...
'coef=a1;a2;a3;b1;b2;b3;c1;c2;c3;d3')
 
// Example taken from function threesls_d. The equations are 'y1=a1+b1*x1','y2=a2+b2*x2+c2*y1' and 'y3=a3+b3*x3+c3*y2+d3*x2'.
// Coefficients are a1, a2, a3, b1, b2, b3, c1, c2, c3, d3. Their name is given to the function through the input 'coef=a1;a2;a3;b1;b2;b3;c1;c2;c3;d3'.

AUTHOR

Eric Dubois 2002-2007

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