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SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

SPSS® 12.0 Command Syntax Reference

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1588 2SLS<br />

• In this example, Y1 is the dependent variable and X1 and X2 are the predictors. The instruments<br />

used to predict the X2 values are X1, LAGX2, and X3.<br />

INSTRUMENTS Subcommand<br />

INSTRUMENTS specifies the instrumental variables. These variables are used to compute<br />

predicted values for the endogenous variables in the first stage of 2SLS.<br />

• At least one INSTRUMENTS subcommand must be specified.<br />

• If more than one INSTRUMENTS subcommand is specified, the effect is cumulative. All<br />

variables named on INSTRUMENTS subcommands are used as instruments to predict all<br />

the endogenous variables.<br />

• Any variable in the working data file can be named as an instrument.<br />

• Instrumental variables can be specified on the EQUATION subcommand, but this is not<br />

required.<br />

• The INSTRUMENTS subcommand must name at least as many variables as are specified<br />

after WITH on the longest EQUATION subcommand.<br />

• If all the predictor variables are listed as the only INSTRUMENTS, the results are the same<br />

as results from ordinary least-squares regression.<br />

Example<br />

2SLS DEMAND WITH PRICE, INCOME<br />

/PRICE WITH DEMAND, RAINFALL, LAGPRICE<br />

/INSTRUMENTS=INCOME, RAINFALL, LAGPRICE.<br />

• The endogenous variables are PRICE and DEMAND.<br />

• The instruments to be used to compute predicted values for the endogenous variables are<br />

INCOME, RAINFALL, and LAGPRICE.<br />

ENDOGENOUS Subcommand<br />

All variables not specified on the INSTRUMENTS subcommand are used as endogenous variables<br />

by 2SLS. The ENDOGENOUS subcommand simply allows you to document what these<br />

variables are.<br />

• Computations are not affected by specifications on the ENDOGENOUS subcommand.<br />

Example<br />

2SLS Y1 WITH X1 X2 X3<br />

/INSTRUMENTS=X2 X4 LAGY1<br />

/ENDOGENOUS=Y1 X1 X3.<br />

• In this example, the ENDOGENOUS subcommand is specified to document the endogenous<br />

variables.

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