Displaying 1 result from an estimated 1 matches for "methodresidcov".
2009 Oct 28
1
New variables "remember" how they were created?
...nsump <- 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 instrument in the final
estimation.
So I'm wondering if yd somehow carries kn...