Paring 3SLS Calculations Down to Manageable Proportions

David Belsley

Computer Science in Economics & Management, 1992, vol. 5, issue 3, 157-69

Abstract: The standard computational formula for the three-stage least-squares estimator is a daunting affair even for modest sized systems of equations. Through the use of the QR decomposition, however, these computations can be substantially reduced in size, removing the order of "T"(number of observations) from the relevant dimensions. This produces a set of calculations and memory requirements far more accommodating to all users of 3SLS (three-stage least-squares), but particularly to those who may wish to include this estimator in their home-made arsenal without having to engage in special programming techniques. Citation Copyright 1992 by Kluwer Academic Publishers.

Date: 1992
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