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:
-
Endogenous variables,
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.
-
Exogenous variables
are independent variables that do not
depend on any of the endogenous variables in the system.
-
Predetermined variables
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.
-
Instrumental variables
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.
