The constant is by definition uncorrelated with the residual and therefore can not be endogenous. I note that the gui always includes the constant in both the set of regressors and in the instruments which is generally correct. I like the fact that in FRETL all the exogenous variables are included in the list of exogenous variables rather that in stata where one lists all the endogenous and the exogenous variables not already listed.
Measuring R^2 as 1-RSS/TSS will give a different answer in OLS and in TSLS which is what one would expect. Is this, perhaps a more appropriate measure of fit for TSLS. I think that both give the same answer in ols. Best Regards John On 10/12/2007, Allin Cottrell <cottrell(a)wfu.edu> wrote: > On Thu, 6 Dec 2007, Riccardo (Jack) Lucchetti wrote: > > > I was just unaware of the fact that if the constant is in the > > regressor list, it gets automatically added to the instrument > > list if not already present... > > > > I think I can see Allin's reasoning here "how can the constant > > be endogenous?", but I wonder if this is maybe going a little > > too far in protecting the user from his own stupidity. I can't > > imagine right now a practical situation when the constant needs > > to be among the regressors but not among the instruments, but > > hey, it's a free world. > > I don't feel strongly about this, but my first reaction is that > it's a low-cost convenience to the user, to add the constant to > the list of instruments if it's among the regressors (and not > already specified as an instrument). If we're to remove this, > we'd have to check that it doesn't break TSLS in the GUI. > > I tend to think that if a user really wants to treat the constant > as endogenous, s/he can go ahead and do the two stages of TSLS > manually. > > Allin. > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- John C Frain Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj(a)tcd.ie mailto:frainj(a)gmail.com
