MACROECONOMETRICS LAB 2 SIMULTANEOUS MODELS ROADMAP l What
MACROECONOMETRICS LAB 2 – SIMULTANEOUS MODELS
ROADMAP l What do we need simulteneous models for? – What you know from the lecture – Empirical side (w/o time dimension, really!) l How to get the NEEDED results from STATA l Klein model (example) How to do own structural research?
Simultaneous Equations Models l Much of theory based on systems of equilibrium equations: – – l Types of equations: – – l D+S & market equilibrium small macroeconomic model (C, I, AD) behavioural equilibrium (identities – no disturbances!) Types of variables: – – – egxogenous endogenous predetermined PROBLEMS!!!
Simultaneous Equations Models l Data problem – – l if endogenous, OLS inconsistent if autoregressive, OLS unreliable (s. errors!) Different solutions ( econometric assumptions) – Instrumental Variables l – errors and exogenous variables uncorrelated 3 SLS l l only simultaneous autocorrelation of errors differentiated 3 SLS
IV estimation l Equation by equation – – cap gen wp_plus_wg = wp+wg ivreg c (p L 1. p wp_plus_wg=year g wg t L 1. p k 1 L 1. x ) ivreg wp (x L 1. x year=year g wg t L 1. p k 1 L 1. x) ivreg i (p L 1. p k 1= year g wg t L 1. p k 1 L 1. x)
3 SLS estimation l reg 3 (c L 1. p p wp_plus_wg) (wp x L 1. x year) (i p L 1. p k 1), endog(wp_plus_wg x p) exog(year g wg t) 2 sls l reg 3 (c L 1. p p wp_plus_wg) (wp x L 1. x year) (i p L 1. p k 1), endog(wp_plus_wg x p) exog(year g wg t) ireg 3 l reg 3 (c L 1. p p wp_plus_wg) (wp x L 1. x year) (i p L 1. p k 1), endog(wp_plus_wg x p) exog(year g wg t) sure
- Slides: 6