An Alternative Interpretation of Two-Stage Least Squares

The two-stage least squares simultaneous equation estimation procedure is shown to be identical to the modified two stage least squares estimator obtained by a) replacing the right-hand side endogenous variable in a single structural equation by their reduced form regression estimates; and b) running a generalized least squares or Aitken estimation procedure on the transformed equation.

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Year of publication:	1975
Authors:	Beach, Charles M. ; Prescott, David M.
Institutions:	Economics Department, Queen's University

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688283