tsls

tsls —

Synopsis




double*     tsls_get_Xi                     (const MODEL *pmod,
                                             double **Z,
                                             int i);
void        tsls_free_data                  (const MODEL *pmod);
int*        tsls_list_omit                  (const int *orig,
                                             const int *drop,
                                             gretlopt opt,
                                             int *err);
int*        tsls_list_add                   (const int *orig,
                                             const int *add,
                                             gretlopt opt,
                                             int *err);
MODEL       tsls_func                       (const int *list,
                                             int ci,
                                             double ***pZ,
                                             DATAINFO *pdinfo,
                                             gretlopt opt);

Description

Details

tsls_get_Xi ()

double*     tsls_get_Xi                     (const MODEL *pmod,
                                             double **Z,
                                             int i);

`pmod` :
`Z` :
`i` :
Returns :

tsls_free_data ()

void        tsls_free_data                  (const MODEL *pmod);

pmod :

tsls_list_omit ()

int*        tsls_list_omit                  (const int *orig,
                                             const int *drop,
                                             gretlopt opt,
                                             int *err);

Creates a new TSLS specification list, by first copying orig then deleting from the copy the variables found in drop.

`orig` :	list specifying original TSLS model.
`drop` :	list of variables to be omitted.
`opt` :	may include `OPT_T` (omit variable only as instrument) or `OPT_B` (omit both as regressor and instrument). The default is to omit (only) as regressor.
`err` :	pointer to receive error code.
Returns :	the new, reduced list or `NULL` on error.

tsls_list_add ()

int*        tsls_list_add                   (const int *orig,
                                             const int *add,
                                             gretlopt opt,
                                             int *err);

Creates a new TSLS specification list, by copying orig and adding the variables found in add.

`orig` :	list specifying original TSLS model.
`add` :	list of variables to be added.
`opt` :	may include `OPT_T` (add variable only as instrument) or `OPT_B` (add both as regressor and instrument). The default is to add as an endogenous regressor.
`err` :	pointer to receive error code.
Returns :	the new, augmented list or `NULL` on error.

tsls_func ()

MODEL       tsls_func                       (const int *list,
                                             int ci,
                                             double ***pZ,
                                             DATAINFO *pdinfo,
                                             gretlopt opt);

Estimate the model given in list by means of Two-Stage Least Squares. If ci is SYSTEM, fitted values from the first-stage regressions are saved with the model: see tsls_get_Xi().

`list` :	dependent variable plus list of regressors.
`ci` :	`TSLS` for regular two-stage least squares, or `SYSTEM` if the 2SLS estimates are wanted in the context of estimation of a system of equations.
`pZ` :	pointer to data matrix.
`pdinfo` :	information on the data set.
`opt` :	may contain `OPT_O` for printing covariance matrix, `OPT_R` for robust VCV, `OPT_N` for no df correction.
Returns :	a MODEL struct, containing the estimates.