Grocer Function

NAME

iv - instrumental variables

CALLING SEQUENCE

[riv]=iv(grocer_namey,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes instrumental variables estimation for a single equation. Variables can be ts, vectors or even matrices. Explicative variables enter either the "list" of instrumented variables ('endo=[var1;var2;...,varl]') or the list of exogenous variables ('exo=[var1;var2;...,vark]').

EXAMPLE

iv('y2','endo=y1','exo=iota;x2','iv=iota;x1;x2');

This example, taken from iv_d, provides the instrumental variables estimation for the regression of endogenous variable y2 on y1, iota and x2: y1 being endogenous, it is instrumented by iota, x2 and an exogenous variable not in the regression, x1.

AUTHOR

Eric Dubois 2002