[R] How to do 2SLS in R
Achim Zeileis
Achim.Zeileis at uibk.ac.at
Wed Mar 21 09:32:48 CET 2012
On Wed, 21 Mar 2012, Priya.Saha at zycus.com wrote:
> Hi List
> I want to carry out structural mode. Following Example l have taken from
> Basic Econometrics- Damodar Gujarati :
Look at the "systemfit" package. For an introduction see the accompanying
JSS paper: http://www.jstatsoft.org/v23/i04/
hth,
Z
> Advertising intensity function:
> Ad/S = a0 + a1M + a2 (CD/S) + a3C + a4C2 + a5Gr + a6Dur ??? (1)
> Concentration function:
> C = b0 + b1 (Ad/S) + b2 (MES/S) -(2)
>
> Price-cost margin function:
> M = c0 + c1(K/S) + c2Gr + c3C + c4GD + c5(Ad/S) + c6 (MES/S) -(3)
> where
> Ad = advertising expense
> S = value of shipments
> C = four-firm concentration ratio
> CD = consumer demand
> MES = minimum efficient scale
> M = price/cost margin
> Gr = annual rate of growth of industrial production
> Dur = dummy variable for durable goods industry
> K = capital stock
> GD = measure of geographic dispersion of output
> Here, Equation (1) & (3) are just identified but equation (2) is
> underidentified
> My question is:
> How to carry out 2sls? l have read rhelp wrt to 2sls, example provided
> over there is
>
> summary(tsls(Q ~ P + D, ~ D + F + A, data=Kmenta)) #
> demand equation
>
> But I still do not have clear idea how to write 2SLS command in R wrt to
> the example l have mentioned .Can you help me providing the syntax wrt to
> model which l have mentioned?
>
> Regards,
> Priya Saha
>
>
>
>
> [[alternative HTML version deleted]]
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