Regression Analysis - dependent and independent variables

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Regression Analysis - dependent and independent variables

liliana
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Hello,

I am looking for some papers or lectures on the regression analysis and on the possibility of regressing two different models (1 and 2), where in the first model the dependent variable is Y1 and one of the independent variables is X1. In the second model, instead, one of the independent variables is Y1 (the dependent variable in model 1) and the dependent variable is X1 (one of the independent variables in model 1).
Do you think it is possible to use this method?

Can you suggest me any ref? Thank you in advance.

Best,
Lil
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Re: Regression Analysis - dependent and independent variables

Yevgeniy Goryakin
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I am not sure I understood your question correctly, but it seems to me that you are dealing with a case of a system with two simultaneous equations. For identification, you will need at least two instruments, for each endogenous variable of interest, and implement 2SLS estimation. If you want a more efficient estimation, you will need to make some additional assumptions on your error terms, in which case you can apply a 3 stage least squares estimator. The references are standard textbook ones (e.g., Wooldridge).

Yevgeniy
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