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

John Fox jfox at mcmaster.ca
Sat Jun 29 18:18:53 CEST 2013

Dear Hans-Christian

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of hck
> Sent: Saturday, June 29, 2013 11:19 AM
> To: r-help at r-project.org
> Subject: Re: [R] 2SLS / TSLS / SEM non-linear
> The challenge is to firstly calculate the reduced form. As far as I
> know, the
> SEM package does not do this automatically. Am I correct?

Right. If you look at the code in sem:::tsls.default, you'll see that it
formulates and solves the 2SLS estimating equations directly (using a
Cholesky decomposition). Moreover, tsls() is for linear structural


John Fox
Senator McMaster Professor of Social Statistics
Department of Sociology
McMaster University
Hamilton, Ontario, Canada

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