Dear All,
I have 4 dependent  time series variables --y1t,y2t,y3t,y4t..
For any fixed 't', they occer in sequence..first y4t, then y3t,...last y1t.
  So I have a model like this.....
y4t= y3tlag1+y2tlag1+y1tlag1+y4tlag1+ error4t
y3t=  y4t +     y2tlag1+y1tlag1+ error3t
y2t= y3t + y4t + y2tlag1+ y1tlag1+ error2t
y1t= y2t + y3t + y4t + y1tag1 + error1t

considering it a triangular (or recusrive--as mentioned in Maddala) system--using OLS I am getting some results. However, when I am considering them occuring for a given time period 't'--so trying tro estimate them jointly by  using 2 Stage Least Squares  (or 3SLS)...I am getting entirely different results in the sense that all the coefficients that are significant in case of OLS are insignificant in 2SLS.

My uestion is : Just because I am changing the method of estimation , why the parameter estimates are  changing so much?
Any comments/ reference so that where to look for?
Even it it is model misspecification / non-inclusion of imp variables...it is true for both the case.. So why this difference?






 
 Kaushik Bhattacharjee


      
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