Springer Texts in Business and Economics

Simultaneous Equations Model

11.1 Introduction

Economists formulate models for consumption, production, investment, money demand and money supply, labor demand and labor supply to attempt to explain the workings of the econ­omy. These behavioral equations are estimated equation by equation or jointly as a system of equations. These are known as simultaneous equations models. Much of today’s economet­rics have been influenced and shaped by a group of economists and econometricians known as the Cowles Commission who worked together at the University of Chicago in the late 1940’s, see Chapter 1. Simultaneous equations models had their genesis in economics during that pe­riod. Haavelmo’s (1944) work emphasized the use of the probability approach to formulating econometric models. Koopmans and Marschak (1950) and Koopmans and Hood (1953) in two influential Cowles Commission monographs provided the appropriate statistical procedures for handling simultaneous equations models. In this chapter, we first give simple examples of simul­taneous equations models and show why the least squares estimator is no longer appropriate. Next, we discuss the important problem of identification and give a simple necessary but not sufficient condition that helps check whether a specific equation is identified. Sections 11.2 and 11.3 give the estimation of a single and a system of equations using instrumental variable pro­cedures. Section 11.4 gives a test of over-identification restrictions whereas, section 11.5 gives a Hausman specification test. Section 11.6 concludes with an empirical example. The Appendix revisits the identification problem and gives a necessary and sufficient condition for identifica­tion.

Добавить комментарий

Springer Texts in Business and Economics

The General Linear Model: The Basics

7.1 Invariance of the fitted values and residuals to non-singular transformations of the independent variables. The regression model in (7.1) can be written as y = XCC-1" + u where …

Regression Diagnostics and Specification Tests

8.1 Since H = PX is idempotent, it is positive semi-definite with b0H b > 0 for any arbitrary vector b. Specifically, for b0 = (1,0,.., 0/ we get hn …

Generalized Least Squares

9.1 GLS Is More Efficient than OLS. a. Equation (7.5) of Chap. 7 gives "ois = " + (X'X)-1X'u so that E("ois) = " as long as X and u …

Как с нами связаться:

Украина:
г.Александрия
тел./факс +38 05235  77193 Бухгалтерия
+38 050 512 11 94 — гл. инженер-менеджер (продажи всего оборудования)

+38 050 457 13 30 — Рашид - продажи новинок
e-mail: msd@msd.com.ua
Схема проезда к производственному офису:
Схема проезда к МСД

Партнеры МСД

Контакты для заказов шлакоблочного оборудования:

+38 096 992 9559 Инна (вайбер, вацап, телеграм)
Эл. почта: inna@msd.com.ua