Variables in a System of Equations
Before explaining how to use the SYSLIN procedure,
it is useful to define some terms.
The variables in a system of equations can be classified as follows:
which are also called jointly dependent or response variables,
are the variables determined by the system.
Endogenous variables can also appear on the right-hand side of equations.
are independent variables that do not
depend on any of the endogenous variables in the system.
include both the exogenous variables
and lagged endogenous variables, which are past values of endogenous
variables determined at previous time periods.
PROC SYSLIN does not compute lagged values;
any lagged endogenous variables must be computed in a preceding DATA step.
are predetermined variables used in obtaining predicted values
for the current period endogenous variables
by a first-stage regression.
The use of instrumental variables characterizes estimation methods
such as two-stage least squares and three-stage least squares.
Instrumental variables estimation methods substitute
these first-stage predicted values for endogenous variables when
they appear as regressors in model equations.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.