[R] 2SLS / TSLS / SEM non-linear
arne.henningsen at gmail.com
Sun Jul 14 07:59:47 CEST 2013
On 30 June 2013 18:53, hck <hans-christian.krumholz at uni-ulm.de> wrote:
> Generally I would have the following equations X_i = IV3_i + IV4_i * Y_i
> applying for every company (i). In a first step, I am interested in
> estimating the relationship between X and Y: Y_i = a + b * X_i + u to
> ultimatly estimate X_i by substituting the Y_i and solving for X_i to be
> able to estimate the X_i by just IV3_i, IV4_i, and the a and b.
> Now, let's construct values from a sample of listed companies. In the
> capital market, I can observe IV3_i, IV4_i, and X_i. With these I calculate
> Y_i: Y_i = IV1_i + IV2_i * X_i (note: IV3 and IV4 are just a transformation
> of IV1 and IV2). Of course, I could rewrite this equation as Y_i = c + d *
> IV1_i + e * IV2_i * X_i + v. For a couple of observations, I have now
> combinations of X_i and Y_i to get the a and b coefficient by estimating Y_i
> = a + b * X_i + u.
It seems to me that this estimation is very simple:
myModel <- lm( Y ~ X )
but perhaps I did not completely understand your model specification.
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