Yes, you need an instrument (or something else)!
Best,
Kosuke
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Kosuke Imai Office: Corwin Hall 036
Professor Phone: 609-258-6601
Department of Politics Fax: 609-258-1110
Princeton University Email: kimai(a)Princeton.Edu
Princeton, NJ 08544-1012
http://imai.princeton.edu
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On Nov 11, 2013, at 5:39 PM, aschmid1 <aschmid1(a)stevens.edu> wrote:
Dear Dr. Imai,
I'll greatly appreciate your advice. I'm trying to use twosls for VAR2 that has
only lags but no exogenous variables:
y1(t)=a01*y2(t) + a11*y1(t-1) + a12*y1(t-2) + a12*y1(t-1) + a22*y1(t-2)
y2(t)=b01*y1(t) + b11*y1(t-1) + b21*y1(t-2) + b12*y2(t-1) + b22*y2(t-2)
Do I have to specify instrumental variables for this model?
Thanks much, Alec Schmidt