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MACROECONOMETRICS

MACROECONOMETRICS. LAB 2 – SIMULTANEOUS MODELS. ROADMAP. What do we need simulteneous models for? What you know from the lecture Empirical side (w/o time dimension, really!) How to get the NEEDED results from STATA Klein model (example) How to do own structural research?.

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MACROECONOMETRICS

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  1. MACROECONOMETRICS LAB 2 – SIMULTANEOUS MODELS

  2. ROADMAP • What do we need simulteneous models for? • What you know from the lecture • Empirical side (w/o time dimension, really!) • How to get the NEEDED results from STATA • Klein model (example) How to do own structural research?

  3. Simultaneous Equations Models • Much of the theory based on systems of equilibrium equations: • D+S & market equilibrium • small macroeconomic model (C, I, AD) • Types of equations: • behavioural • equilibrium (identities – no disturbances!) • Types of variables: • egxogenous • endogenous • predetermined  PROBLEMS!!!

  4. Simultaneous Equations Models • Data problem • if endogenous, OLS inconsistent • if autoregressive, OLS unreliable (s.errors!) • Different solutions ( econometric assumptions) • Instrumental Variables • errors and exogenous variables uncorrelated • 3SLS • only simultaneous autocorrelation of errors • differentiated 3SLS

  5. IV estimation • Equation by equation • cap gen wp_plus_wg = wp+wg • ivreg c (p L1.p wp_plus_wg=year g wg t L1.p k1 L1.x ) • ivreg wp (x L1.x year=year g wg t L1.p k1 L1.x) • ivreg i (p L1.p k1= year g wg t L1.p k1 L1.x)

  6. 3SLS estimation • reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) 2sls • reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) • reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) ireg3 • reg3 (c L1.p p wp_plus_wg) (wp x L1.x year) (i p L1.p k1), endog(wp_plus_wg x p) exog(year g wg t) sure

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