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greene2sls
2009 Oct 28
1
New variables "remember" how they were created?
...<- realcons[-204]
y.1 <- demand[-204]
yd <- demand[-1] - y.1
eqConsump <- realcons[-1] ~ demand[-1] + c.1
eqInvest <- realinvs[-1] ~ tbilrate[-1] + yd
system <- list( Consumption = eqConsump, Investment = eqInvest)
instruments <- ~ realgovt[-1] + tbilrate[-1] + c.1 + y.1
# 2SLS
greene2sls <- systemfit( system, "2SLS", inst = instruments,
methodResidCov = "noDfCor" )
When I do the 2SLS fit, it seems that even though I declared y.1 as an
instrument that the estimator "knows" that yd was created using y1, so
it (correctly) transforms yd to use the ins...