Hi Dr. Roger,
thank you very much for your kind reply, which is very clear.



Regards
Joseph

On Tue, Apr 17, 2012 at 11:28 AM, Roger Bivand <Roger.Bivand@nhh.no> wrote:

> On Tue, 17 Apr 2012, Joseph Duncan wrote:
>
> Dear list
>>
>> I have read ?stsls? help file and Kelejian and Prucha (1998) for more
>> than one week, but still do not understand how to estimate "generalized
>> spatial two-stage least squares model" in sample data
>>
>>
>> gp2a <- stsls(log(CMEDV) ~ CRIM + ZN + INDUS + CHAS + I(NOX^2) + I(RM^2) +
>> AGE + log(DIS) + log(RAD) + TAX + PTRATIO + B + log(LSTAT), data=boston.c,
>> nb2listw(boston.soi))
>>
>> Which are endogenous variables and which are exogenous variables? Which
>> variables are used to obtain 2SLS estimator?  What does the equations looks
>> like?  exactly the same as Kelejian and Prucha (1998) ?
>>
>
> As you can see from the help page (and the code which is the clearest
> description), the coefficient on Wy is fitted using the lagged X variables
> WX and WWX. What is endogenous or not is a matter of terminology, and may
> not actually match the variables you have. In stsls, you don't get to
> define anything, it is simply as given by Kelejian and Prucha, that is
> first step fit WY ~ [WX, WWX], then second step. You can choose only to use
> WX instead of [WX, WWX].
>
> Hope this clarifies,
>
> Roger
>
>
>
>> Thanks
>>
>>
>>
>>
>>
>> Best regard
>>
>>        [[alternative HTML version deleted]]
>>
>>
>>
> --
> Roger Bivand
> Department of Economics, NHH Norwegian School of Economics,
> Helleveien 30, N-5045 Bergen, Norway.
> voice: +47 55 95 93 55; fax +47 55 95 95 43
> e-mail: Roger.Bivand@nhh.no
>
>

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