An Alternative Interpretation of Two-Stage Least Squares

Charles Beach and David M. Prescott

Working Paper from Economics Department, Queen's University

Abstract: The two-stage least squares simultaneous equation estimation procedure is shown to be identical to the modified two stage least squares estimator obtained by a) replacing the right-hand side endogenous variable in a single structural equation by their reduced form regression estimates; and b) running a generalized least squares or Aitken estimation procedure on the transformed equation.

Pages: 11
Date: 1975
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:196

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