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2SLS

The 2SLS command estimates Two Stage Least Squares.

In general, the format is:

2SLS depvar rhsvars (exogs) / options

where exogs is a list of exogenous variables. SHAZAM automatically includes a constant term in exogs unless the NOCONEXOG option. The available options are:

OPTION DESCRIPTION
beg= Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
coef= Saves the COEFficients in the variable specified. If there is an intercept it will be stored as the last coefficient.
cov= Saves the COVariance matrix of coefficients in the variable specified.
dn Estimates the error variance by Dividing the residual sum of squares by N instead of N-K
dump DUMPS large amounts of output mainly useful to SHAZAM Consultants
end= Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
gf Prints Goodness of Fit tests for normality of residuals. Coefficients of skewness and excess kurtosis and the Jarque-Bera test for normality of the residuals are also computed.
list LISTs and plots the residuals and predicted values of the dependent variable and residual statistics. When LIST is specified RSTAT is automatically turned on.
max Prints Analysis of Variance Tables, Variance-covariance matrix, Correlation matrix, Residuals, Residual Statistics and Goodness of Fit Test for Normality. This option is equivalent to using the ANOVA, LIST, PCOV, PCOR and GF options. Users should be sure the MAX output is necessary, otherwise unnecessary calculations are required.
noconexog Specifies that a constant is not to be included in the list of exogenous variables. If this option is not specified then SHAZAM includes a column of 1's in the X matrix.
noconstant There will be NO CONSTANT (intercept) in the estimated equation. This option is used when the intercept is to be suppressed in the regression or when the user is supplying the intercept. This option should be used with caution as some of the usual output may be invalid. In particular, the usual R^2 is not well defined and could be negative. However, when this option is used, the raw moment R^2 may be of interest. The ANALYSIS OF VARIANCE - FROM MEAN table will not be computed if this option is used.
nogf Specifies not to print Goodness of Fit tests for normality of residuals, skewness, kurtosis and the Jarque-Bera test
pcor Prints the CORrelation matrix of the estimated coefficients. This should not be confused with a correlation matrix of variables which can be obtained with a STAT command.
pcov Prints the COVariance matrix of coefficients. This should not be confused with the covariance matrix of variables which can be obtained with the STAT command.
predict= Saves the PREDICTed values of the dependent variable in the variable specified.
resid= Saves the values of the RESIDuals from the regression in the variable specified.
restrict Forces linear RESTRICTions into the regression. It tells SHAZAM that RESTRICT commands follow. Restrictions must be linear. This option may not be used with DWPVALUE or METHOD=HH.
rstat Prints Residual Summary STATistics. The output includes the Durbin-Watson statistic and related residual test statistics. It also includes the Runs Test. When the LIST option is specified RSTAT is automatically turned on.
stderr= Saves the values of the STanDard ERRors of the coefficients in the variable specified.
tratio= Saves the values of the T-RATIOs in the variable specified.