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1、第11章 聯(lián)立方程模型Introductiontosimultaneous-equationmodelContentIntroductiontosimultaneous-equationsystemsTheindentificationproblemIndirectleast-squaresestimation(ILS)Two-stageleastsquares(2SLS)Introductiontosimultaneous-equationsystemsSofar,weconcernedour
2、selvesprimarilywithsingle-equationmodels.Inthischapterweturnourattentiontomodelsconsistingofseveralequations,inwhichthebehaviorofthevariablesisjointlydetermined.Consideringasupply-demandmodels,inwhichthepriceofaproductsissimultaneouslydeterminedbythe
3、interactionofproducersandconsumersinamarket.Simultaneous-EquationModelSEMconsistsofaseriesofequationswitheachequationservingtoexplainonevariablewhichisdeterminedinthemodel.Considerathree-equationsupply-demandmodeldescribedasfollows:Supply:QtS=a1+a2Pt
4、+a3Pt-1+etDemand:QtD=b1+b2Pt+b3Yt+utEquilibrium:QtS=QtDSimultaneous-EquationModelThesupplyequation,demandequation,andequilibriumconditiondeterminethemarketpriceandthequantitysupplied(anddemanded)whenthemarketisinequilibrium.Forthisreason,thevariables
5、QtD,QtS,andPtareoftencalledendogenousvariables;theyaredeterminedwithinthesystemofequations.Themodelalsocontainstwovariableswhosevaluesarenotdetermineddirectlywithinthesystem,whichisoftencalledpredeterminedvariables.Pt-1andYtarebothpredeterminedvariab
6、lesinthemodel.ThePt-1isdeterminedwithinthesystem-bypastvaluesofthevariables,thus,laggedendogenousvariablesarepredeterminedvariables.ThevariableYtisdeterminedcompletelyoutsidethemodelandiscalledanexogenousvariable.Simultaneous-EquationModelWecanseethe
7、endogeneityofthePtandQtvariablesgraphicallyinthefigure.SEM:structuralmodelConsideringfollowingsupply-demandsystemSupply:QtS=a1+a2Pt+etDemand:QtD=b1+b2Pt+b3Yt+utEquilibrium:QtS=QtDThemodelisoftencalledastructuralmodelbecauseitsformisgivenbytheunderlyi
8、ngtheory.Astructuralmodelcontainsendogenousvariablesontheleft-handside(LHS)andcontainsendogeneousaswellaspredeterminedvariablesontheRHS.SEM:reducedmodelIfwesolvethestructuralmodelforeachoftheendogenousvariablesasafunctionsolelyofthepredeterminedvaria