Download presentation

Presentation is loading. Please wait.

Published byDonna Benskin Modified about 1 year ago

1
MACROECONOMETRICS LAB 2 – SIMULTANEOUS MODELS

2
ROADMAP What do we need simulteneous models for? – What you know from the lecture – Empirical side (w/o time dimension, really!) How to get the NEEDED results from STATA Klein model (example) How to do own structural research?

3
Simultaneous Equations Models Much of the theory based on systems of equilibrium equations: – D+S & market equilibrium – small macroeconomic model (C, I, AD) Types of equations: – behavioural – equilibrium (identities – no disturbances!) Types of variables: – egxogenous – endogenous – predetermined PROBLEMS!!!

4
Simultaneous Equations Models Data problem – if endogenous, OLS inconsistent – if autoregressive, OLS unreliable (s.errors!) Different solutions ( econometric assumptions) – Instrumental Variables errors and exogenous variables uncorrelated – 3SLS only simultaneous autocorrelation of errors differentiated 3SLS

5
IV estimation Equation by equation – cap gen wp_plus_wg = wp+wg – ivreg c (p L1.p wp_plus_wg=year g wg t L1.p k1 L1.x ) – ivreg wp (x L1.x year=year g wg t L1.p k1 L1.x) – ivreg i (p L1.p k1= year g wg t L1.p k1 L1.x)

6
3SLS estimation reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) 2sls reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) ireg3 reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) sure

Similar presentations

© 2016 SlidePlayer.com Inc.

All rights reserved.

Ads by Google