Download presentation

Presentation is loading. Please wait.

1
**Macroeconometric Models**

Simultaneous Equations Vector Auto Regression Forecasting

2
**A simple Example of the Simultaneous Equation System**

3
**General Form for the Simultaneous Equation System**

………………………………………………………………

4
**Impact and Shock Analysis in a Simultaneous Equation System**

.

5
**Macroeconometric (IS-LM) Model**

6
**Reduced form of the Macro Model**

7
**Rank and Order Conditions of Identification**

8
**How to Determine the Rank of the Matrix?**

9
**Order and rank conditions of identification**

10
**Steps for rank condition**

12
**Consumption function:**

Checking Rank Identification Condition for the above System Consumption function: It is obvious that there exists at least on non-singular matrix of order M-1. Tax function:

13
**Checking Rank Identification Condition for the above System**

Import Interest Rate Investment

14
**Some Techniques for Estimation of the Simultaneous Equations System**

15
**Estimation by the Generalised Least Square Method**

16
**Estimation of Simultaneous System using PcGive**

C = *M *G *X e+004 (SE) (0.0266) (0.212) (0.154) (1.63e+004) Y = *M *G *X e+004 (SE) (0.0454) (0.361) (0.262) (2.78e+004) T = *M *G *X e+004 (SE) (0.02) (0.159) (0.116) (1.23e+004) M = *M *G *X e+004 (SE) (0.0198) (0.157) (0.114) (1.21e+004) r = e-005*M *G e-005*X (SE) (6.2e-006) (4.93e-005) (3.58e-005) (3.79) I = *M *G *X e+004 (SE) (0.0229) (0.182) (0.132) (1.4e+004)

17
**Actual and Predicted Values in above Macroeconomic Model**

18
References Bhattarai (2004) REVIEW OF MACROECONOMETRIC MODELS FOR ANALYSIS AND FORECASTING, University of Hull. Burns, A and W. Michell, (1946), “Measuring Business Cycles” NBER, New York. Campbell J. Y. and R.J. Shiller (1987) Cointegration and Tests of Present Value Models, Journal of Political Economy, 95, 5, pp Doornik J.A and D.F. Hendry (2003) Econometric Modelling Using PCGive Volumes I, II and II, Timberlake Consultant Ltd, London. Garratt A., K. Lee, M.H. Pesaran and Y. Shin (2003) A Structural Cointegration VAR Approach to Macroeconometric Modelling, Economic Journal. Hendry D.F. (1997) Dynamic Econometrics, Oxford University Press. Harris R. and R. Sollis (2003) Applied Time Series Modelling and Forecasting, John Willey. Holly S and M Weale Eds.(2000) Econometric Modelling: Techniques and Applications, pp.69-93, the Cambridge University Press. Johansen Soren (1988) Estimation and Hypothesis Testing of Cointegration Verctors in Gaussian Vector Autoregressive Models, Econometrica, 59:6, Koopman SJ, AC Harvey, JA Doornik and N. Shephard (2000) Structural Time Series Analyser, Modeller and Predictor (STAMP), Timberlake Consultants Ltd. Pagan A. and M. Wickens (1989) A Survey of Some Recent Econometric Methods, Economic Journal, 99 pp Wallis KF. (1989) Macroeconomic Forecasting: A Survey, Economic Journal, 99, March, pp

19
**A Sample Batch Code for PC-Give**

//Batch code for the final specification: module("PcGive"); package("PcGive"); usedata("Macrotimeseries-UK.xls"); system { Y = C, Y, T, M; Z = C_1, Y_1, T_1, M_1, G, G_1, M4, M4_1; U = Constant; } model C = C_1, Y_1, T_1, M_1, G, G_1, M4, M4_1; Y = C_1, Y_1, T_1, M_1, G, G_1, M4, M4_1; T = C_1, Y_1, T_1, M_1, G, G_1, M4, M4_1; M = C_1, Y_1, T_1, M_1, G, G_1, M4, M4_1; estimate("FIML", 1961, 1, 2001, 1);

Similar presentations

OK

© Charles van Marrewijk, 2003 1 An Introduction to Geographical Economics Brakman, Garretsen, and Van Marrewijk.

© Charles van Marrewijk, 2003 1 An Introduction to Geographical Economics Brakman, Garretsen, and Van Marrewijk.

© 2018 SlidePlayer.com Inc.

All rights reserved.

Ads by Google

Free ppt on food security in india Ppt on power generation by speed breaker specification Ppt on artificial intelligence for speech recognition Ppt on varactor diode equation Download ppt on android operating system Ppt on pricing policy Ppt on amplitude shift keying experiment Ppt on health care services in india Ppt on beer lambert law units Training ppt on quality