tsls-methods {gmm4} | R Documentation |
tsls
in Package gmm4 ~~It estimates a linear model using two-stage least squares.
## S4 method for signature 'linearGmm' tsls(object)
object |
An object of class |
signature(object = "linearGmm")
signature(object = "slinearGmm")
2SLS for equation by equation estimation of a system of equations.
x <- rchisq(200,5) z1 <- rnorm(200) z2 <- .2*x+rnorm(200) y <- x+rnorm(200) dat <- data.frame(y=y,z1=z1,x=x,z2=z2) theta <- c(beta0=1,beta1=2) model1 <- gmmModel(y~x, ~z1+z2, data=dat) res <- tsls(model1) summary(res) ## Econometrics, Fumio Hayashi (2000) ## Empirical exercises (b) and (c) data(Griliches) Griliches$YEAR <- as.factor(Griliches$YEAR) model1 <- gmmModel(LW~S+IQ+EXPR+TENURE+RNS+SMSA+YEAR-1, ~S+EXPR+TENURE+RNS+SMSA+YEAR+MED+KWW+MRT+AGE-1, data=Griliches, vcov="MDS") res <- tsls(model1) summary(res)