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Statistical Analysis Stack Exchange

Questions tagged [2sls]

Two-stage least squares is a regression technique from econometrics used in instrumental variables analysis.

Two-stage least squares is a regression technique from econometrics used in instrumental variables analysis.

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Two stage models: Difference between Heckman models (to deal with sample selection) and Instrumental variables (to deal with endogenity)

I am trying to get my head around the difference between sample selection and endogeneity and in turn how Heckman models (to deal with sample selection) differ from instrumental variable regressions (to deal with endogeneity). Is it correct to say…
kyrenia
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Probit two-stage least squares (2SLS)

I was told that it's possible to run a two-stage IV regression where the first stage is a probit and the second stage is an OLS. Is it possible to use 2SLS if the first stage is a probit but the second stage is a probit/poisson model?
user3543169
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2SLS but second stage Probit

I am trying to use instrumental variables analysis to infer causality with observational data. I have come across a two-stage least squares (2SLS) regression which is likely to address the endogeneity issue in my research. However, I would like to…
Veronica
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Instrumental variables with interactions between endogenous variables

I have two endogenous variables $x_1$ and $x_2$ and am trying to estimate the following model: $$y = \theta_0 + \theta_1 x_1 + \theta_2 x_2 + \theta_{12} x_{12}$$ where $x_{12} = x_1\times x_2$. I'm particularly interested in the interaction term…
Biblot
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Why is the functional form of the 1st stage in 2SLS not important?

In a presentation today the speaker made the above claim. He said that even if the first stage is mis-specified, the coefficient estimates of the second stage will still be valid. As a lowly graduate student I could not ask for an explanation, so…
Heisenberg
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Definition of "optimal" instruments

The book I read (Davidson,MacKinnon - Econometric Theory and Methods) describes the definition of "optimal instrument variables" as the following: Usually, and this is seen very often in other textbooks which cope with regression models, we want to…
Druss2k
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Weak first stage in 2SLS

I have a simple IV model with 1D variables: $N = \alpha_z + \beta_z Z + \epsilon_z$ $S = \alpha_s + \beta_s N + \epsilon_s$ $N$ is an integer, while $S$ is dummy. $Z$ is by construction independent of $N$ and $S$, it is a random, continuous…
oDDsKooL
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Are There Evaluation Criteria For Instrumental Variables?

If theory points to multiple possible instruments that can be used, how can I choose which one of them is the best for 2SLS? I read that good instrument should be significant and correlated with the endogenous variable. Does that imply that when I…
1muflon1
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Can there be endogeneity?

I am performing a regression in which I suspect there could be endogeneity between the main explanatory variable and the dependent. As a first step I perform an OLS regression and then, to control for the endogeneity, I use a 2SLS regression with an…
fiorita
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Why do you put all the exogenous variables into the first and second stage of 2SLS?

For a general MLR, let's say we have k endogenous X's, r exogenous W's, and m instruments. The first stage of the 2SLS model is regressing each of the endogenous X's on all the Z's and W's. For the second stage, we then take the predicted values of…
Matsutake
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F-test and Rank test for underidentification

I've been performing a manual 2sls regression and I've come with the following results and that I find a bit suspicious. I've done the F-test of the first-stage regression and I've obtained a score of 31.25 (F(IVs,n-k)=31.25) and I've performed the…
John Doe
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2SLS - logit/probit in the second stage?

I just have a quick question: what if I'm interested in estimating a logit/probit model in the second stage, can I follow this two-step procedure by running OLS in the first stage (endogenous variable = exogenous variables + instruments) and then…
fccog
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How does IV 2SLS obtain a causal coefficient?

Despite reading and conducting several practical examples with IV 2SLS, I am still uncertain how, specifically and mathematically, 2SLS is able to obtain a causal coefficient, β, of an assumed endogenous variable, X, on an outcome, Y. From what I…
Wissenschaft
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Linear first stage, non-linear second stage 2SLS regression

I was wondering if it's possible to perform a 2SLS regression where I first run a regression for my endogenous variable, obtain the predicted values and then use them in my second stage regression (a logit)? Would this approach yield consistent…
user130196
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how to explain instrumental variables to a layman

I am giving a talk to a group that contains both quantitative and qualitative researchers, but most of the quants' understanding stops at crosstabs and regression. Does anyone have any ideas which intuitively explain the mechanics of 2sls and…
user2362087
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