S4E03 Two-Stage Least Squares Strikes Back
Quantitude
00:00
The Six Steps of Any SEM
Step one in MIV two stage least squares some is you specify the model. The second step is where the really clever part comes in, and it's called transform latent to observed. Step three is what's always been the hard one: You got to find the model implied instrumental variables. And then a Sargent test gives you an inferential test of whether the instruments are working in the way that they should.
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