《联立方程模型》ppt课件

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1、第11章　联立方程模型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