[R] 2SLS / TSLS / SEM non-linear

hck hans-christian.krumholz at uni-ulm.de
Sun Jun 23 16:17:48 CEST 2013


Dear all, I try to conduct a SEM / two stage least squares regression with
the following equations: 

First: X ~ IV1 + IV2 * Y
Second: Y ~ a + b X

therein, IV1 and IV2 are the two instruments I would like to use.  the
structure I would like to maintain as the model is derived from economic
theory. My problem here is that I have trouble solving the equations to get
the reduced form so I can run the tsls function of the gmm package (or just
run two regressions using the lm funcation)

Has anybody encountered a similar problem yet? The regular text books such
as Wooldridge, Greene, or Stock and Watson are not much help here.

Thanks and kind regards
HC



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