第11章 联立方程模型.ppt
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1、第11章 联立方程模型,Introduction to simultaneous-equation model,Content,Introduction to simultaneous-equation systems The indentification problem Indirect least-squares estimation (ILS) Two-stage least squares (2SLS),Introduction to simultaneous-equation systems,So far, we concerned ourselves primarily with
2、 single-equation models. In this chapter we turn our attention to models consisting of several equations, in which the behavior of the variables is jointly determined. Considering a supply-demand models, in which the price of a products is simultaneously determined by the interaction of producers an
3、d consumers in a market.,Simultaneous-Equation Model,SEM consists of a series of equations with each equation serving to explain one variable which is determined in the model. Consider a three-equation supply-demand model described as follows: Supply: QtS=a1+a2Pt+a3Pt-1+et Demand: QtD=b1+b2Pt+b3Yt+u
4、t Equilibrium: QtS=QtD,Simultaneous-Equation Model,The supply equation, demand equation, and equilibrium condition determine the market price and the quantity supplied (and demanded) when the market is in equilibrium. For this reason, the variables QtD, QtS, and Pt are often called endogenous variab
5、les; they are determined within the system of equations. The model also contains two variables whose values are not determined directly within the system, which is often called predetermined variables. Pt-1 and Yt are both predetermined variables in the model. The Pt-1 is determined within the syste
6、m-by past values of the variables, thus, lagged endogenous variables are predetermined variables. The variable Yt is determined completely outside the model and is called an exogenous variable.,Simultaneous-Equation Model,We can see the endogeneity of the Pt and Qt variables graphically in the figur
7、e.,SEM: structural model,Considering following supply-demand system Supply: QtS=a1+a2Pt+et Demand: QtD=b1+b2Pt+b3Yt+ut Equilibrium: QtS=QtD The model is often called a structural model because its form is given by the underlying theory. A structural model contains endogenous variables on the left-ha
8、nd side(LHS) and contains endogeneous as well as predetermined variables on the RHS.,SEM: reduced model,If we solve the structural model for each of the endogenous variables as a function solely of the predetermined variables in the model. Then, the transformed model is called reduced form model.,Si
9、multaneous-Equation Model,Because Pt and Qt are endogenous, applying ordinary least squares to the estimation of the supply (or the demand) equation will generate biased and inconsistent estimators. In the SEM, where (endogenous) variables in one equation feed back into variables in another equation
10、, the error terms are correlated with the endogenous variables and least squares is both biased and inconsistent.,Simultaneous-Equation Model,Suppose we estimate the supply equation in the SEM model by using OLS. The slope parameter estimate will be Rearrange the equation, we find that,Simultaneous-
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