计量经济学导论ch16课件.pptx
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1、 2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or posted to a publicly accessible website,in whole or in part.Chapter 16Simultaneous Equations ModelsWooldridge:Introductory Econometrics:A Modern Approach,5e第1页,共15页。2013 Cengage Learning.All Rights Reserved.May not
2、 be scanned,copied or duplicated,or posted to a publicly accessible website,in whole or in part.Simultaneity is another important form of endogeneitySimultaneity occurs if at least two variables are jointly determinedA typical case is when oberved outcomes are the result of separate behavioral mecha
3、nisms that are coordinated in an equilibriumThe prototypical case is a system of demand and supply equations:D(p)=how high would demand be if the price was set to p?S(p)=how high would supply be if the price was set to p?Both mechanisms have a ceteris paribus interpretation Observed quantity and pri
4、ce will be determined in equilibriumSimultaneous equations systems can be estimated by 2SLS/IVSimultaneousEquations Systems第2页,共15页。2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or posted to a publicly accessible website,in whole or in part.Example:Labor demand an
5、d supply in agricultureAnnual hours supplied by workers in a given county if the average hourly wage offered to such workers is wAnnual hours demanded by employers in a given county if the average hourly wage paid to workers is wObserved supply shifters e.g.manufacturing wageObserved demand shifters
6、 e.g.agricultural land areaWage elasticity of supplyWage elasticity of demandUnobserved supply shifters e.g.immigration flows Unobserved demand shifters e.g.food market shocksSimultaneousEquations Systems第3页,共15页。2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or po
7、sted to a publicly accessible website,in whole or in part.Example:Labor demand and supply in agriculture(cont.)Competition on the labor market in each county i will lead to a county wage wi so that the total num-ber of hours his supplied by workers in this county equals the total number of hours hid
8、 demanded by agricultural employers in this county:(=observed equilibrium outcomes in each county)Simultaneous equations model(SEM):Endogenous variablesExogenous variablesNote:Without separate exogenous variables in each equation,the two equations could never be distiguished/separately identifiedStr
9、uctural error terms(uncorrelated with the exogenous variables)SimultaneousEquations Systems第4页,共15页。2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or posted to a publicly accessible website,in whole or in part.Example:Murder rates and the size of the police forceMu
10、rders per capitaPolice officers per capitaIncome per capitaBehavioral equation“of murderer populationBehavioral equation“of city governmentIn this equation,polpc will not be exogenous because the number of police officers will dependent on how high the murder rate is(reverse causation“).The interest
11、ing equation for policy purposes is the first one.City governments will want to know by how much the murder rate decreases if the number of police officers is exogenously increased.This will be hard to measure because the number of police officers is not exogenously chosen(it depends on how much cri
12、me there is in the city,see second equation).SimultaneousEquations Systems第5页,共15页。2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or posted to a publicly accessible website,in whole or in part.Simultaneity bias in OLSInsert first equation into second:(=reduced form
13、 equation for y2)Variable y2 is correlated with the error u1 because u1 is indirectly a part of y2.OLS applied to this equation will be therefore be inconsistent.SimultaneousEquations Systems第6页,共15页。2013 Cengage Learning.All Rights Reserved.May not be scanned,copied or duplicated,or posted to a pub
14、licly accessible website,in whole or in part.Identification in simultaneous equations systemsExample:Supply and demand systemWhich of the two equations is identified?The supply function cannot be consistently estimated because one of the regressors is endogenous and we do not have an instrumentThe d
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