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In the linear regression model, y = X 1 β 1 + Y 1 β 2 + u = Zβ + u, there are real-life situations when some of the regressors, denoted by Y 1 in the model, are correlated with the disturbance term. The vector and matrices y, X 1, and Y 1 are N × 1, N × K 1, and N × ( G − 1) data matrices from a sample of size N. u is the N × 1 vector of disturbances, assumed to have mean zero and variance-covariance matrix σ 2 I. In this model, X 1 is assumed to be statistically independent of the disturbance term and the analysis is done conditional on X 1.

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Two-Stage Least Squares

  • 工具书词条

  • 发表日期：

    2025年

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  • Roberto S. Mariano

摘要

In the linear regression model, y = X 1 β 1 + Y 1 β 2 + u = Zβ + u, there are real-life situations when some of the regressors, denoted by Y 1 in the model, are correlated with the disturbance term. The vector and matrices y, X 1, and Y 1 are N × 1, N × K 1, and N × ( G − 1) data matrices from a sample of size N. u is the N × 1 vector of disturbances, assumed to have mean zero and variance-covariance matrix σ 2 I. In this model, X 1 is assumed to be statistically independent of the disturbance term and the analysis is done conditional on X 1.