Description

Compute 2SLS parameters and robust standard errors based on Newey and West (1987). Part of the function is based on the Matlab code by James P. LeSage.

Usage

Arguments

Value

A list. The first element contains the estimated 2SLS parameters and the second element the 2SLS-Newey-West covariance matrix of these parameters. The third element contains the estimated functions, the fourth element the unscaled covariance matrix, the fifth element the meat estimator and the last element the ordinary covariance matrix of the point estimates.

References

Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708. Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, The MIT Press.