在计量经济学的Endogeneity：同时等式模型.pptx

Endogeneity in Econometrics:Simultaneous Equations ModelsMing LUSimultaneityThis arises when one or more of the explanatory variables is jointly determined with the dependent variable, typically through an equilibrium mechanism.The method of instrumental variables.Why do we need to estimate structural model rather than reduced-form model?THE NATURE OF SIMULTANEOUSEQUATIONS MODELSConceptsEndogenous variablesExogenous variablesStructural errorsEach equation should have a behavioral, ceteris paribus interpretation on its own.SIMULTANEITY BIAS IN OLSsimultaneity biasIDENTIFYING AND ESTIMATING A STRUCTURAL EQUATIONIdentification in a Two-Equation SystemThe first is supply equation. The second is demand equation.A general two-equation modelExclusion restrictionsIn other words, we assume that certain exogenous variables do not appear in the first equation and others are absent from the second equation.RANK CONDITION FOR IDENTIFICATION OF A STRUCTURAL EQUATIONThe first equation in a two-equation simultaneous equations model is identified if and only if the second equation contains at least one exogenous variable (with a nonzero coefficient) that is excluded from the first equation.The order condition is necessary for the rank condition.The rank condition requires more: at least one of the exogenous variables excluded from the first equation must have a nonzero population coefficient in the second equation.Estimation by 2SLSThis is similar in the previous chapter.SYSTEMS WITH MORE THAN TWO EQUATIONSORDER CONDITION FOR IDENTIFICATIONAn equation in any SEM satisfies the order condition for identification if the number of excluded exogenous variables from the equation is at least as large as the number of right-hand side endogenous variables.Overidentified equation, just identified equation, and unidentified equation.Estimation2SLS3SLS – More efficient using the residuals to do GLS estimation at the third stage. More sensitive to variable selection.SIMULTANEOUS EQUATIONS MODELS