RainbowStats™ · Regression commands

THREE_STAGE_REGRESSION

Build the existing instrumental-variables system estimator.

Syntax

THREE_STAGE_REGRESSION(system,instruments)

Returned object

ThreeStageRegressionOperator

Example

system=SIMU_REGRESSION(REGRESSION(UNRATE,U6RATE),REGRESSION(INDPRO,PAYEMS))
THREE_STAGE_REGRESSION(system,LIST(CPIAUCSL))

Interpretation and limitations

The current operator describes its method as an instrumented SUR or 3SLS approximation. Supply a regression system and an instrument data list. Instrument relevance does not establish the exclusion restriction.

Available extracts

Save the command result in a variable, then use EXTRACT(result, "key"). Availability can depend on the input form and fitted model.

model
table
summary
diagnostics
sur
corrtable
firststage
first_stage
instruments
explain

In indexed patterns such as beta:n, replace n with the required index.

Learn more

Detailed guide and examples