SPSS® 12.0 Command Syntax Reference

2SLS
Overview
Options
2SLS is available in the Regression Models option.
2SLS [EQUATION=]dependent variable WITH predictor variable
[/[EQUATION=]dependent variable...]
/INSTRUMENTS=varlist
[/ENDOGENOUS=varlist]
[/{CONSTANT**}
{NOCONSTANT}
[/PRINT=COV]
[/SAVE = [PRED] [RESID]]
[/APPLY[=’model name’]]
**Default if the subcommand or keyword is omitted.
Example
2SLS VAR01 WITH VAR02 VAR03
/INSTRUMENTS VAR03 LAGVAR01.
2SLS performs two-stage least-squares regression to produce consistent estimates of parameters
when one or more predictor variables might be correlated with the disturbance. This
situation typically occurs when your model consists of a system of simultaneous equations
wherein endogenous variables are specified as predictors in one or more of the equations.
The two-stage least-squares technique uses instrumental variables to produce regressors
that are not contemporaneously correlated with the disturbance. Parameters of a single
equation or a set of simultaneous equations can be estimated.
New Variables. You can change NEWVAR settings on the TSET command prior to 2SLS to
evaluate the regression statistics without saving the values of predicted and residual variables,
or save the new values to replace the values saved earlier, or save the new values without
erasing values saved earlier (see the TSET command). You can also use the SAVE
subcommand on 2SLS to override the NONE or the default CURRENT settings on NEWVAR.
Covariance Matrix. You can obtain the covariance matrix of the parameter estimates in addition
to all of the other output by specifying PRINT=DETAILED on the TSET command prior
to 2SLS. You can also use the PRINT subcommand to obtain the covariance matrix regardless
of the setting on PRINT.
1586