Problem 2. Consider TSLS estimation with a single included endogenous variable and a single instrument. Then the predicted value from the first-stage regression is X₁ = fo + 1 Z₁. (i) Use the definition of the sample variance and covariance to show that sxy #1szy and (ii) Remember that ₁ = 8xz/s2 and that the TSLS estimator TSLS is the OLS estimator of the slope parameter in the regression of Y on X. Use these facts and the result of part (i) to prove that obtained by the two-stage least squares procedure can be written as TSLS
Problem 2. Consider TSLS estimation with a single included endogenous variable and a single instrument. Then the predicted value from the first-stage regression is X₁ = fo + 1 Z₁. (i) Use the definition of the sample variance and covariance to show that sxy #1szy and (ii) Remember that ₁ = 8xz/s2 and that the TSLS estimator TSLS is the OLS estimator of the slope parameter in the regression of Y on X. Use these facts and the result of part (i) to prove that obtained by the two-stage least squares procedure can be written as TSLS
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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