第11章　联立程模型.pptVIP

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 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 and 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+ut 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 variables; 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 system-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 figure. 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 struct