在计量经济学的Endogeneity ： 同时等式模型(1)EndogeneityinEconometrics:SimultaneousEquationsModelsMingLUSimultaneityThisariseswhenoneormoreoftheexplanatoryvariablesisjointlydeterminedwiththedependentvariable,typicallythroughanequilibriummechanism.Themethodofinstrumentalvariables.Whydoweneedtoestimatestru...
EndogeneityinEconometrics:SimultaneousEquationsModelsMingLUSimultaneityThisariseswhenoneormoreoftheexplanatoryvariablesisjointlydeterminedwiththedependentvariable,typicallythroughanequilibriummechanism.Themethodofinstrumentalvariables.Whydoweneedtoestimatestructuralmodelratherthanreduced-formmodel?THENATUREOFSIMULTANEOUSEQUATIONSMODELSConceptsEndogenousvariablesExogenousvariablesStructuralerrorsEachequationshouldhaveabehavioral,ceterisparibusinterpretationonitsown.SIMULTANEITYBIASINOLSsimultaneitybiasIDENTIFYINGANDESTIMATINGASTRUCTURALEQUATIONIdentificationinaTwo-EquationSystemThefirstissupplyequation.Thesecondisdemandequation.Ageneraltwo-equationmodelExclusionrestrictionsInotherwords,weassumethatcertainexogenousvariablesdonotappearinthefirstequationandothersareabsentfromthesecondequation.RANKCONDITIONFORIDENTIFICATIONOFASTRUCTURALEQUATIONThefirstequationinatwo-equationsimultaneousequationsmodelisidentifiedifandonlyifthesecondequationcontainsatleastoneexogenousvariable(withanonzerocoefficient)thatisexcludedfromthefirstequation.Theorderconditionisnecessaryfortherankcondition.Therankconditionrequiresmore:atleastoneoftheexogenousvariablesexcludedfromthefirstequationmusthaveanonzeropopulationcoefficientinthesecondequation.Estimationby2SLSThisissimilarinthepreviouschapter.SYSTEMSWITHMORETHANTWOEQUATIONSORDERCONDITIONFORIDENTIFICATIONAnequationinanySEMsatisfiestheorderconditionforidentificationifthenumberofexcludedexogenousvariablesfromtheequationisatleastaslargeasthenumberofright-handsideendogenousvariables.Overidentifiedequation,justidentifiedequation,andunidentifiedequation.Estimation2SLS3SLS–MoreefficientusingtheresidualstodoGLSestimationatthethirdstage.Moresensitivetovariableselection.SIMULTANEOUSEQUATIONSMODELSWITHPANELDATA(1)eliminatetheunobservedeffectsfromtheequationsofinterestusingthefixedeffectstransformationorfirstdifferencing;(2)findinstrumentalvariablesfortheendogenousvariablesinthetransformedequation.Challenging,becauseforaconvincinganalysisweneedtofindinstrumentsthatchangeovertime.Howtodoifyouwanttoidentifythefixed-effects?Puttimedummiesandfixed-effectsdummiesinthestructuralmodel.Theend.
本文档为【在计量经济学的Endogeneity ： 同时等式模型(1)】，请使用软件OFFICE或WPS软件打开。作品中的文字与图均可以修改和编辑，
图片更改请在作品中右键图片并更换，文字修改请直接点击文字进行修改，也可以新增和删除文档中的内容。
该文档来自用户分享，如有侵权行为请发邮件ishare@vip.sina.com联系网站客服，我们会及时删除。
[版权声明] 本站所有资料为用户分享产生，若发现您的权利被侵害，请联系客服邮件isharekefu@iask.cn，我们尽快处理。
本作品所展示的图片、画像、字体、音乐的版权可能需版权方额外授权，请谨慎使用。
网站提供的党政主题相关内容(国旗、国徽、党徽..)目的在于配合国家政策宣传，仅限个人学习分享使用，禁止用于任何广告和商用目的。
浙公网安备 33021202002483