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You are on page 1of 14

by Eddie Oczkowski

http://csusap.csu.edu.au/~eoczkows/home.htm

May 2003

These notes describe the 2SLS estimator for latent variable models developed by

Bollen (1996). The technique separately estimates the measurement model and

structural model of SEM. One can therefore use it either as a stand alone procedure

for a full SEM or combine it with factor analysis, for example, establish the

measurement model using factor analysis and then employ 2SLS for the structural

model only.

The advantages of using 2SLS over the more conventional maximum likelihood (ML)

method for SEM include:

It does not require any distributional assumptions for RHS independent variables,

they can be non-normal, binary, etc.

In the context of a multi-equation non-recursive SEM it isolates specification

errors to single equations, see Bollen (2001).

It is computationally simple and does not require the use of numerical

optimisation algorithms.

It easily caters for non-linear and interactions effects, see Bollen and Paxton

(1998).

It permits the routine use of often ignored diagnostic testing procedures for

problems such as heteroscedasticity and specification error, see Pesaran and

Taylor (1999).

Simulation evidence from econometrics suggests that 2SLS may perform better in

small samples than ML, see Bollen (1996, pp120-121).

There are however some disadvantages in using 2SLS compared to ML, these

include:

The ML estimator is more efficient than 2SLS given its simultaneous estimation

of all relationships, hence ML will dominate 2SLS always in sufficiently large

samples if all assumptions are valid and the model specification is correct.

Effectively ML is more efficient (if the model is valid) as it uses much more

information than 2SLS.

Unlike the ML method, the 2SLS estimator depends upon the choice of reference

variable. The implication being that different 2SLS estimates result given

different scaling variables.

Programs with diagram facilities such as EQS do not exist for 2SLS. One needs

to logically work through the structure of the model to specify individual

equations for all the relationships for the 2SLS estimator.

Substantive applications of the 2SLS estimator for latent variable models include: Li

and Harmer (1998), Oczkowski and Farrell (1998), Farrell (2000) and Oczkowski

(2001), Farrell and Oczkowski (2002), and Smith, Oczkowski, Noble and Macklin

(2002, 2003).

Consider a simple regression model:

y = + x + u

where

y is the dependent variable

x is the independent variable

and are estimable parameters

u is the error term

(1)

If x and u are correlated then this violates an assumption of the regression framework.

Applying standard ordinary least squares (OLS) to eqn (1) under these circumstances

results in inconsistent estimates, that is, even as the sample size approaches infinity

the estimates of the parameters on average will not equal the population estimates. To

remedy this problem one can apply 2SLS, also called the instrumental variables (IV)

procedure. To implement 2SLS we need to identify one or more instruments for x.

These instruments (call them z) must satisfy two conditions:

1.

2.

z must be correlated with x.

In any software package which supports 2SLS/IV simply specify x as the independent

(explanatory) variable and z as the instrumental variables. This method will produce

consistent parameter estimates even given the correlation between x and u. The only

condition for identification is that the number of instruments is greater than or equal

to the number of independent variables.

There are two ways to get 2SLS/IV estimates. The first is through a direct 2SLS/IV

option available in packages such as SPSS and SHAZAM. These are based on a

single IV expression which involves matrix algebra. This approach will produce

consistent estimates and accurate standard errors.

The second method (as the 2SLS name suggests) to get the parameter estimates is to

run two OLS regressions:

1. OLS regression x on z and get predictions for x, say x

2. OLS regression y on x .

By forming predictions for x in the 2nd stage through the instruments z we correct for

the correlation between the error term and the independent variable. This will

produce 2SLS parameter estimates, the same as the estimates produced by the direct

2SLS/IV option. However the standard errors from the two-step procedure will be

incorrect. Effectively, employing x in the second stage rather than x, inaccurately

measures the standard error estimates. It is recommended therefore that the direct

2SLS/IV option be employed to get parameter and standard error estimates.

In choosing the number of instruments to employ in 2SLS asymptotically (as n

approaches infinity) the larger the no of instruments the better in terms of efficiency.

However, the small sample bias of the estimator may get worse as the number of

are lost and this will weaken the power of statistical tests.

To present the mechanics of the 2SLS estimator for latent variable models we will

work through a series of simple examples. These are examples only and generalise to

more complex models.

Structural Equation Estimation: The Single Equation Case

Consider the following latent variable model:

1 = o + 11 + u1

where

(2)

1 is the latent dependent variable with 3 indicators ( y1 , y 2, y 3 )

u1 is the disturbance error term.

Assume that the measurement models for 1 and 1 are:

where

y1 = y11 + 1

x1 = x11 + 1

y 2 = y 21 + 2

x 2 = x 21 + 2

y 3 = y 31 + 3

x3 = x 31 + 3

(3)

and are measurement errors

Bollen (1996) suggests the following procedure. Choose a scaling (or reference)

variable for each latent variable, say y1 for 1 and x1 for 1 , this implies the

corresponding loadings are set to unity. These scaling variables should be those that

best reflect the constructs theoretically or empirically (the highest standardised factor

loading). This allows us to write:

y1 = 1 + 1

x1 = 1 + 1

(4)

Combining eqns (2) and (4) allows us to write (2) in observable variable terms only:

y1 = o + 1 x1 + u

where u = u1 + 1 1 1

(5)

u is a new composite error term. Clearly x1 is correlated with u since both x1 and u

depend upon 1 . This mimics eqn (1) and therefore OLS cannot be applied to (5) and

so instead a 2SLS procedure is needed. To identify suitable instruments for (5) we

need to find variables which are not correlated with u, but are highly correlated with

x1 . The non-scaling items for 1 ( x 2, x3 ) are suitable as they are expected to be highly

correlated with x1 given that they are all indicators of the same construct and they are

not correlated with u (as we assume that measurement errors are uncorrelated.). Note,

y 2, y 3 are not suitable instruments as they are correlated with u, since u, y 2, y 3 all

depend upon u1 . In sum to estimate eqn (2) perform a 2SLS regression of y1 on x1 ,

with instruments x 2, x3 .

So the general principle is that non-scaling item indicators of the independent variable

can be used as instruments, but not non-scaling items of the dependent variable as

they correlate with the composite error term. Effectively, any variable that has either

a direct or indirect effect on the dependent variable is not a candidate as an

instrumental variable as it will be correlated with the composite error term. That is, if

a causal chain exists between the composite error term and a variable then that

variable is not a valid instrument.

In some situations it is difficult to determine whether an instrument is valid. To

ascertain the validity of an instrument you need to explicitly determine if the

covariance between the instrument and composite error is zero. To illustrate this we

evaluate, from first principles, some examples. The following rules are useful:

cov( X , Y ) = E ( XY ) E ( X ) E (Y )

cov(aX + bY , cZ ) = cov(aX , cZ ) + cov(bY , cZ )

(5a)

(5b)

Consider eqn (5) and first the validity of x 2 as an instrument (i.e., cov( x 2 ,u) = 0) and

then the invalidity of y 2 as an instrument, (i.e., cov( y 2 ,u) 0).

cov( x 2 , u ) = cov( x 21 + 2 , u1 + 1 1 1 )

cov( 2 , u1 ) + cov( 2 , 1 ) cov( 2 , 1 1 )

(use (5b))

= E ( x 21u1 ) E ( x 21 ) E (u1 ) +

E ( x 21 1 ) E ( x 21 ) E ( 1 )

E ( x 21 1 1 ) + E ( x 2 1 ) E ( 1 1 ) +

E ( 2 u1 ) E ( 2 ) E (u1 ) +

E ( 2 1 ) E ( 2 ) E ( 1 )

E ( 2 1 1 ) + E ( 2 ) E ( 1 1 )

(use (5a))

u1 , 1 and 1 , and that 1 is independent of all error terms, all the expected value

expressions are zero and so cov( x 2 ,u) = 0.

cov( y 2 , u ) = cov( y 21 + 2 , u1 + 1 1 1 )

cov( 2 , u1 ) + cov( 2 , 1 ) cov( 2 , 1 1 )

(use (5b))

= E ( y 21u1 ) E ( y 21 ) E (u1 ) +

E ( y 21 1 ) E ( y 21 ) E ( 1 )

E ( y 21 1 1 ) + E ( y 21 ) E ( 1 1 ) +

E ( 2 u1 ) E ( 2 ) E (u1 ) +

E ( 2 1 ) E ( 2 ) E ( 1 )

E ( 2 1 1 ) + E ( 2 ) E ( 1 1 )

(use (5a ))

u1 , 1 , 2 and 1 many of these expressions are zero, however not all. In these terms

for 1 we need to substitute the RHS of eqn (2), which among other terms inserts u1

wherever 1 appears. This makes (at least) the first term non-zero:

E ( y 21u1 ) = E ( y 2 ( 0 + 11 + u1 )u1 )

= E ( y 2 0 ) + E ( y 2 11 ) + E ( y 2 u1u1 )

The last term is non-zero here (it depends on the variance of u1 ) and so cov( y 2 ,u)

0, which means that y 2 is not a valid instrument.

To assess how good the instruments are, the R 2 s from the equations used to generate

x from the 1st stage of 2SLS should be examined. If these are lower than 0.10 then

the instruments are most likely to be inappropriate, that is they are insufficiently

correlated with x. In fact, if the instruments are very weakly correlated with the

regressors, then tests of hypotheses become very inaccurate, even in large samples.

Another useful check of the relevance of instruments is to ensure that the F statistics

from the first stage regressions exceed 10, see Stock and Watson (2003, ch 10). If the

measurement scales for x have good reliability measurement properties then these 1st

stage R 2 s and F statistics will usually be acceptably high.

Other Variables

If eqn (2) has more independent latent variables then set a scaling variable for each

independent variable, they enter as additional RHS variables and the non-scaling

variables enter as additional instruments. If observed variables (not latent) enter

directly as independent variables, then these appear as both RHS variables and as

instruments, that is, they serve as their own instruments.

Note, in this single equation case consistent 2SLS estimates can be gained even if

summated or factor based composite variables are used for 1 . Instruments are only

needed for the RHS variables. Measurement error in the dependent variable does not

affect the consistency of the regression estimator, only measurement error in the

independent variables causes estimation problems.

Structural Equation Estimation: Simultaneous Equations The Recursive (No

Feedback) Case

Consider the following latent variable model without feedback but involving two

dependent variables and hence two equations:

1

2

Note there is no feedback of 1 back into 2 , all arrows move left to right. In

equation form we have:

1 = o + 1 2 + 21 + u1

(6)

2 = o + 1 2 + u 2

(7)

where

1 is a latent variable with 3 indicators ( y1 , y 2, y 3 )

1 is a latent variable with 3 indicators ( x1 , x 2, x3 )

2 is a latent variable with 3 indicators ( w1 , w2, w3 )

and are estimable parameters

u1 and u 2 are the disturbance error terms.

(6). The procedure as described for the single equation case can also be applied here.

Consider eqns (6) and (7), assume the following scaling variables ( y1 , z1 , x1 , w1 ) , this

allows us to re-write (6) and (7) in observed variables as:

y1 = o + 1 z1 + 2 x1 + u *1

(8)

z1 = o + 1 w1 + u

(9)

For eqn (8) the non-scaling zs, xs, and ws can be employed as instruments, but not

*

the non-scaling ys as they depend upon u1 . Note, the non-scaling items for 2 (zs)

are valid for eqn (8) since 2 does not depend upon 1 , as there is no feedback.

For eqn (9) the non-scaling xs and ws are valid instruments, but not the non-scaling

*

zs as they depend upon u 2 . Note, the non-scaling items for 1 (ys) are not valid

for eqn (9) since 1 does depend upon 2 , and hence is related to u * 2 (the chain is

u * 2 zy).

So generally the same principle as in the single equation case applies here, the nonscaling RHS variables can be used as instruments. This principle applies even if one

the RHS variables is a dependent variable. This is permitted given the recursive

nature of the equations. In this case however, other variables may also serve as

instruments depending upon the causal chain from the composite error term.

Structural Equation Estimation: Simultaneous Equations The Non-Recursive

(Feedback) Case

Consider the following latent variable model with feedback but involving two

dependent variables and hence two equations:

1

2

1 = o + 1 2 + 21 + u1

(10)

2 = o + 11 + 2 2 + u 2

(11)

where

1 is a latent variable with 3 indicators ( y1 , y 2, y 3 )

1 is a latent variable with 3 indicators ( x1 , x 2, x3 )

2 is a latent variable with 3 indicators ( w1 , w2, w3 )

and are estimable parameters

u1 and u 2 are the disturbance error terms.

(11), while 2 serves as a dependent variable in (11) but as an independent variable in

(10). Assume the following scaling variables ( y1 , z1 , x1 , w1 ) , this allows us to re-write

(10) and (11) in observed variables as:

*

1

y1 = o + 1 z1 + 2 x1 + u *1

(12)

z1 = o + 1 y1 + 2 w1 + u

(13)

*

2

Consider eqn (12) the non-scaling xs and ws can be employed but not the nonscaling zs and ys. As before the ys are directly correlated with u1* . The logic for

the unsuitability of the zs is more involved but the casual link exists as: u1* yz.

Consider eqn (13) the non-scaling xs and ws can be employed but not the nonscaling zs and ys. As before the zs are directly correlated with u 2* . The logic for

the unsuitability of the ys is more involved but the casual link exists as: u 2* zy.

So for the non-recursive case the general the principle that all non-scaling RHS

variables can be used as instruments is not longer valid. Only the non-scaling items

of the RHS variables which are not dependent variables in other equations can be

employed as instruments. In this case however, other variables may also serve as

instruments depending upon the causal chain from the composite error term.

Modelling Interaction Effects

Bollen and Paxton (1998) discuss modelling interaction or moderator effects in great

detail. Effectively most of the concepts apply above except for a few minor

modifications. Consider the following model:

where

1 = o + 11 + 2 2 + 31 2 + u1

(14)

1 is the latent dependent variable with 3 indicators ( y1 , y 2, y 3 )

1 is a latent independent variable with 3 indicators ( x1 , x 2, x3 )

2 is a latent independent variable with 3 indicators ( w1 , w2, w3 )

1 2 is the moderator or interaction term

0 , 1 and 2 are estimable parameters

u1 is disturbance error term.

observed variables as:

y1 = o + 1 x1 + 2 w1 + 3 x1 w1 + u *1

(15)

Note here the interaction latent variable is replaced by the interaction between the

corresponding scaling variables. The valid instruments are the non-scaling xs and

ws, but also all the products of the non-scaling xs and ws ( x 2 w2 , x 2 w3 , x3 w2 , x3 w3 ),

these are instruments for x1 w1 . As before the non-scaling ys are not valid as they

directly depend upon the composite error term.

In general the number of instruments resulting from the new interaction term equals

the no. of non-scaling items for 1 times the number of non-scaling items for 2 , for

our example it is 2 x 2 = 4. Clearly, for scales with a large number of items this

number will increase quickly and may consume a large no. of degrees of freedom. A

resolution to this dilemma is to parcel the non-scaling items into groups (sum them)

before multiplying to get the interaction instruments.

A similar strategy to modelling interaction effects can be used for a non-linear model

which includes a squared latent independent variable. Here the chosen scaling

variable is squared to act as the independent variable and the squares of the

corresponding non-scaling variables act as instruments. Note however, in this

quadratic case a modification is needed to the intercept parameter to get consistent

estimates, see Bollen (1995, pp 240-241).

Intrinsically Non-Linear Models

such 2SLS can be easily adapted to gain consistent estimates. In other cases models

may be non-linear in parameters and here the 2SLS method is no longer applicable.

For example when dealing with dichotomous dependent variables we need to use logit

or probit models. These models are intrinsically non-linear. To estimate a non-linear

model in the spirit of 2SLS we can employ the Generalised Methods of Moments

estimator (GMM). GMM is effectively a more general version of 2SLS which can

handle non-linear models. Conceptually we can use the Bollen (1996) methodology

with GMM. That is, choose scaling variables as independent variables and nonscaling variables as instruments and apply GMM. Programs such as SHAZAM and

LIMDEP support GMM, one needs to write some code to define the non-linear

function. For example, the LIMDEP code for the logit GMM estimator is provided by

Foster (1997). For an application of combining probit GMM with Bollens latent

variable approach see Smith, Oczkowski, Noble and Macklin (2002, 2003).

Measurement Model Estimation

Even though the 2SLS estimator has mainly been employed to estimate the structural

model it can also be used to estimate the measurement model.

Consider a single latent variable ( 1 ) with three observed indicators:

x1 = x11 + 1

(16)

x 2 = x 2 1 + 2

(17)

x3 = x 31 + 3

(18)

Choose a scaling (or reference) variable say x1 for 1 , this implies the corresponding

loading is set to unity. This allows us to write:

x1 = 1 + 1

(19)

(20)

x 2 = x 2 x1 + u

where u = 2 x 2 1

As before (20) can be estimated via 2SLS using x3 as an instrument, x 2 is not valid as

it directly depends upon u. The same logic applies for the equation of x3 , x1 is the

regressor and x 2 is the instrument.

To show why x3 is a valid instrument for eqn (20) consider the following:

cov( x3 , u ) = cov( x 31 + 3 , 2 x 2 1 )

= cov( x 31 , 2 ) cov( x 31 , x 2 1 ) +

cov( 3 , 2 ) cov( 3 , x 2 1 )

(use (5b))

= E ( x 31 2 ) E ( x 31 ) E ( 2 )

E ( x 31 x 2 1 ) + E ( x 31 ) E ( x 2 1 ) +

E ( 3 2 ) E ( 3 ) E ( 2 )

E ( 3 x 2 1 ) + E ( 3 ) E ( x 2 1 )

(use (5a))

1 , 2 , and 3 , and because 1 is independent of all the s , then all these expressions

are zero, and so x3 is a valid instrument for eqn (20).

In general an equation has to be estimated for each non-scaling item, the specific nonscaling item is the dependent variable, the independent variable is the scaling item and

all other non-scaling items are the instruments. This approach permits the estimation

of the factor loadings. One can extend this approach to estimate higher order factor

models using 2SLS, see Bollen and Biesanz (2002).

Diagnostic Testing and Goodness of Fit in 2SLS Models

Most of this discussion is based on Pesaran and Smith (1994) and Pesaran and Taylor

(1999). Initially we need to make a distinction between various types of residuals and

forecasts when using 2SLS/IV methods. These distinctions relate to the two alternate

ways to produce 2SLS/IV estimates. Reconsider the basic representation:

y = + x + u

where z are valid instruments for x.

(21)

10

After estimating this model we get estimates for the parameters of and , using

these we can formulate two types of predictions. Most programs (including SPSS

and SHAZAM) allow you to save:

y = + x

(22)

these are termed 'fitted values or IV predictions. These fitted values are typically

used in the calculation of the goodness of fit R 2 . A problem with this is that this

value can be negative and therefore lacks its conventional interpretation.

The other type of prediction is termed forecast or 2SLS predictions, these are

formed as:

~

y = + x

(23)

here the predicted values for x from the 1st stage regression are used instead of x.

These forecasts ( ~

y ) are gained from the 2nd OLS regression in the 2SLS procedure

rather than the direct IV option. The R 2 based on this 2nd OLS regression of y on x

is termed GR 2 (the generalised R 2 ) this measure of goodness of fit does fall between

zero and unity. Pesaran and Smith (1994) show asymptotically, that GR 2 will be

greatest for the correctly specified model and is valid for both nested and non-nested

model comparisons.

A similar distinction is made between IV and 2SLS for residuals. The IV residuals

correspond to the fitted values and are defined as:

u = y x

(24)

These residuals are typically available as saved options in packages such as SPSS and

SHAZAM.

u~ = y x

(25)

Bollen (1996) proposes this as a test of whether the general model specification and

the instruments are valid. It is similar to the chi-square test in maximum likelihood

SEM. The test checks whether the extra variables which over-identify the model are

valid for the specification. To conduct the test proceed as follows:

1.

2.

3.

4.

Regress u (IV residuals) against all the instruments and get the R 2

Using the R 2 from step 1, form the test statistic: N * R 2 (N is the sample size)

The test statistic has a 2 (chi-square) distribution with degrees of freedom

equal to the no. of instruments less the no. of RHS variables in the equation.

If the statistic is significant then a problem exists.

11

The logic underlying this test is that the residuals should be independent of the

instruments as required by the estimation procedure. A high R 2 in step 1 would

indicate that this would not be the case leading to a rejection of the model

specification or instruments.

RESET (Specification Error Test)

Pesaran and Taylor (1999) propose the RESET ( FF2 in their paper) general

specification error test for appropriate functional form and/or omitted variables. The

test has good relative power (compared to other tests in their paper) and is robust to

heteroscedasticity. To conduct the test proceed as follows:

1.

2.

3.

4.

y2.

Run a 2SLS/IV regression of y against the original RHS variables and ~

y 2 , use

as instruments the original instruments and ~

y2.

The t-statistic on the ~

y 2 variable is the test statistic.

If the test statistic is significant then there is a specification error.

The logic underlying this test suggests, in a correctly specified model the predictions

from the model should not have any explanatory power in the original model.

Effectively, the predictions from the model should not be able to explain any variation

in the residuals in a correctly specified model.

Heteroscedasticity Test

Pesaran and Taylor (1999) propose a heteroscedasticity ( HET1 ) test. This test has

good size and power properties (compared to other tests in their paper) and is robust

to non-normality in cross section data sets. To conduct the test proceed as follows:

1.

2.

3.

y 2 (the squared 2SLS forecasts)

The t-statistic on the ~

y 2 variable is the test statistic.

If the test statistic is significant then there is a heteroscedasticity problem.

Non-nested Testing

Oczkowski and Farrell (1998) and Oczkowski (2002) develop non-nested tests for

competing models for the 2SLS latent variable estimator. In a series of Monte Carlo

experiments it appears the augmented encompassing test has useful small sample

properties and can be recommended for testing alternative models.

Label the two competing models as H 0 the null and H 1 the alternative:

H0 :

y = 0 0 + u 0

H1 :

y = 11 + u1

12

1 is a latent independent variable with 3 indicators ( w1 , w2, w3 )

Assume the scaling variables are x1 and w1 , the competing models in observed

variables become:

H0 :

y = 0 x1 + e 0

H1 :

y = 1 w1 + e1

with new composite error terms. Encompassing is the notion that a preferred model

should be able to account for the salient features of rival models. In the context of

non-nested testing this implies that H 0 is validated if H 0 can account for the salient

features of H 1 . The augmented encompassing test requires the following two

regressions:

(i)

(ii)

(iii)

2SLS regression: y on x1 and p ( x 2 , x3 , p as instruments), and test for the

significance of the p variable.

If the p variable is significant then H 1 rejects H 0 .

If there is more than one different independent variable between competing models

then step (i) involves as many regressions as differing variables producing multiple

prediction variables. In step (ii) these prediction variables are then tested for their

joint significance using an F test.

The test described for the null H 0 against the alternative H 1 is only uni-directional

and there is persuasive argument that one should not make inferences about the

alternative model based on tests of the null model alone. As a consequence it is

common practice to perform paired tests where the null and alternative models

alternate. For example, consider the paired tests for competing models A and B:

employ the procedure using: (i) Model A as H 0 and Model B as H 1 and (ii) Model B

as H 0 and Model A as H 1 . One of four scenarios will result from the paired tests for

comparing models A and B: (i) accept both A and B; (ii) reject both A and B; (iii)

accept A and reject B, (iv) accept B and reject A.

All the extensions discussed previously for 2SLS carry over to this non-nested testing

procedure.

13

References

Bollen, K.A. (1995) Structural Equation Models that are Nonlinear in Latent

Variables: A Least-Squares Estimator. Ch 6, pp223-252 in P. Marsden (ed)

Sociological Methodology, Blackwell Publishers: Oxford.

Bollen, K.A. (1996) An Alternative Two Stage Least Squares (2SLS) Estimator for

Latent Variable Equations. Psychometrika, 61, 109-121.

Bollen, K.A. (2001) Two-Stage Least Squares and Latent Variable Models:

Simultaneous Estimation and Robustness to Misspecifications. Ch 7, pp 199138 in R. Cudeck, S. du Toit and D. Sorbom (eds) Structural Equation

Modeling: Present and Future: A Festschrift in honor of Karl Joreskog,

Scientific Software International: Lincolnwood.

Bollen, K.A., and Biesanz, J.C. (2002) A Note on a Two-Stage Least Squares

Estimator for Higher-Order Factor Analyses. Sociological Methods and

Research, 30(4), 568-579.

Bollen, K.A. and Paxton, P. (1998) Interactions of Latent Variables in Structural

Equation Models. Structural Equation Modeling, 5, 267-293.

Farrell, M.A. (2000) Developing a Market-Oriented Learning Organisation.

Australian Journal of Management, 25, 201-222.

Farrell, M.A., and Oczkowski, E. (2002) Are Market Orientation and Learning

Orientation Necessary for Superior Organizational Performance? Journal of

Market-Focused Management, 5, 197-217.

Foster, E.M. (1997) Instrumental Variables for Logistic Regression: An Illustration.

Social Science Research, 26, 487-504.

Li, F. and Harmer, P. (1998) Modeling Interaction Effects: A Two-Stage Least

Squares Example. Ch 7, pp153-166 in R.E. Schumacker and G.A.

Marcoulides (eds) Interaction and Nonlinear Effects in Structural Equation

Modeling, Lawrence Erlbaum: Mahwah

Oczkowski, E. (2001) 'Hedonic Wine Price Functions and Measurement Error.'

Economic Record, 77, 374-382..

Oczkowski, E. (2002) 'Discriminating Between Measurement Scales using Nonnested Tests and 2SLS: Monte Carlo Evidence.' Structural Equation

Modeling, 9, 103-125.

Oczkowski, E. and M. Farrell (1998) Discriminating between Measurement Scales

using Non-Nested Tests and Two Stage Estimators: The Case of Market

Orientation. International Journal of Research in Marketing, 15, 349-366.

Pesaran, M.H., and Smith, R.J. (1994) A Generalized R 2 Criterion for Regression

Models Estimated by the Instrumental Variables Method. Econometrica, 62,

705-710.

Pesaran, M.H. and Taylor, L.W. (1999) Diagnostics for IV Regressions. Oxford

Bulletin of Economics and Statistics, 61, 255-281.

Smith, A. Oczkowski, E, Noble, C. and Macklin, R. (2002) New Management

Practices and Enterprise Training, Report for the National Centre for

Vocational and Educational Research, Adelaide, Australia.

Smith, A. Oczkowski, E, Noble, C. and Macklin, R. (2003) Organisational Change

and the Management of Training in Australian Enterprises. International

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Wesley: Boston.

14

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