The INSTRUMENTS statement specifies the instrumental variables to
be used in the N2SLS, N3SLS, IT2SLS, IT3SLS, GMM, and ITGMM estimation methods.
There are two forms of the INSTRUMENTS statement:
- INSTRUMENTS variables [ _EXOG_ ] ;
The first form of the INSTRUMENTS statement is used only before
a FIT statement and defines the default instruments list.
The items specified as instruments can be variables
or the special keyword _EXOG_. _EXOG_ indicates that all the model
variables declared EXOGENOUS are to be added to the instruments list.
- INSTRUMENTS [instruments] [ _EXOG_ ]
[ EXCLUDE=( parameters ) ] [ / options ] ;
The second form of the INSTRUMENTS statement is used only after the FIT
statement and before the next RUN statement.
The items specified as instruments for the second form
can be variables, names
of parameters to be estimated, or the special keyword _EXOG_.
If you specify the name of a parameter in the instruments list,
the partial derivatives of the equations with respect to the parameter
(that is, the columns of the Jacobian matrix
associated with the parameter) are used as instruments.
The parameter itself is not used as an instrument.
These partial derivatives should not depend on any of the parameters
to be estimated.
Only the names of parameters to be estimated can be specified.
- EXCLUDE= (parameters)
specifies that the derivatives of the equations with respect to
all of the parameters to be estimated, except the parameters
listed in the EXCLUDE list, be used as instruments, in addition to the
other instruments specified.
If you use the EXCLUDE= option, you should be sure that the
derivatives with respect to the non-excluded parameters in the
estimation are independent of the
endogenous variables and not functions of the parameters estimated.
The following option is specified on the INSTRUMENTS statement
following a slash (/):
excludes the constant of 1.0 (intercept) from the instruments list.
An intercept is always included as an instrument unless
NOINTERCEPT is specified.
When a FIT statement specifies an instrumental variables estimation
method and no INSTRUMENTS statement accompanies the FIT statement,
the default instruments are used.
If no default instruments list has been specified,
all the model variables declared EXOGENOUS are used as instruments.
See "Choice of Instruments" for more details.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.