厦门大学：《高级经济计量学》讲义 第十二章 联立方程模型的估计

Chapter12联立方程 模型的估计

Chapter 12 联立方程 模型的估计

I Single equation estimation procedures Indirect least squares(Is)(恰好识别; 2)Two. - stage least squares(2Ss)(过度识别) 2. System estimation procedures hree-stage least squares(3SIs)(跨方程相关) In 1962, Theil and Zellner first proposed this method 2SLS+GLS= 3SLS (GLS-generalized least squares

1. Single equation estimation procedures 1) Indirect least squares (ILS) (恰好识别); 2) Two-stage least squares (2SLS) (过度识别) 2. System estimation procedures Three-stage least squares (3SLS) (跨方程相关) In 1962, Theil and Zellner first proposed this method. 2SLS+GLS= 3SLS ( GLS=generalized least squares )

Example(Kleins model) Consumption CT=C(1)+C(2)*P+C(3)*P(1)+C(4米(W1+W2 Investment: I=C(5)+C(6)*P+C(7)*P(1)+C(8)*K(1) Demand for labor W1=C9)+C(10*X+C(11)*X(1)+C(12*ME 恒等式:Ⅹ=CT+I+G;P=X-TW1; K=K(-1)+I

Example (Klein’s Model) Consumption: ◼ CT=C(1)+C(2)*P+C(3)*P(-1)+C(4)*(W1+W2) Investment: ◼ I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1) Demand for labor: ◼ W1=C(9)+C(10)*X+C(11)*X(-1)+C(12)*TIME 恒等式：X=CT+I+G；P=X-T-W1； K=K(-1)+I

endogenous variables CT消费,Ⅰ:投资;P:私有部门利润; W1:私有部门工资;K:资本存量;Ⅹ:均衡需求 predetermined variables :税收;G:政府非工资支出;W2:政府工资支出 TIME:时间趋势;K(1;P(1);X(

endogenous variables: CT: 消费; I: 投资; P:私有部门利润; W1:私有部门工资; K: 资本存量; X:均衡需求; predetermined variables: T: 税收; G: 政府非工资支出; W2: 政府工资支出 TIME: 时间趋势; K(-1); P(-1); X(-1)

Homework. 1.证明阶条件 k-k1≥g1-1 等价于:该方程所不包含的所有变量的数 目大于等于模型的总内生变量数减1 Page236, Ex127 and Ex128

Homework: 1. 证明阶条件 等价于：该方程所不包含的所有变量的数 目大于等于模型的总内生变量数减1。 2. Page236, Ex12.7 and Ex12.8 1 i i k k g −  −