LIML, K-Class, and MELO Estimation |
To obtain limited information maximum likelihood, general K-class, or minimum expected loss estimates, use the ENDOGENOUS, INSTRUMENTS, and MODEL statements as in the 2SLS case but specify the LIML, K=, or MELO option instead of 2SLS in the PROC SYSLIN statement. The following statements show this for K-class estimation.
proc syslin data=in k=.5; endogenous p; instruments y u s; demand: model q = p y s; supply: model q = p u; run;
For more information about these estimation methods, see the section Estimation Methods and consult econometrics textbooks.