截面和面板數(shù)據(jù)分析課件7(復旦大學陸銘張晏).ppt
《截面和面板數(shù)據(jù)分析課件7(復旦大學陸銘張晏).ppt》由會員分享，可在線閱讀，更多相關《截面和面板數(shù)據(jù)分析課件7(復旦大學陸銘張晏).ppt（19頁珍藏版）》請在裝配圖網(wǎng)上搜索。
EndogeneityinEconometrics:SimultaneousEquationsModels,MingLU,Simultaneity,Thisariseswhenoneormoreoftheexplanatoryvariablesisjointlydeterminedwiththedependentvariable,typicallythroughanequilibriummechanism.Themethodofinstrumentalvariables.Whydoweneedtoestimatestructuralmodelratherthanreduced-formmodel?,THENATUREOFSIMULTANEOUSEQUATIONSMODELS,Concepts,EndogenousvariablesExogenousvariablesStructuralerrorsEachequationshouldhaveabehavioral,ceterisparibusinterpretationonitsown.,SIMULTANEITYBIASINOLS,simultaneitybias,IDENTIFYINGANDESTIMATINGASTRUCTURALEQUATION,IdentificationinaTwo-EquationSystemThefirstissupplyequation.Thesecondisdemandequation.,Ageneraltwo-equationmodel,Exclusionrestrictions,Inotherwords,weassumethatcertainexogenousvariablesdonotappearinthefirstequationandothersareabsentfromthesecondequation.,RANKCONDITIONFORIDENTIFICATIONOFASTRUCTURALEQUATION,Thefirstequationinatwo-equationsimultaneousequationsmodelisidentifiedifandonlyifthesecondequationcontainsatleastoneexogenousvariable(withanonzerocoefficient)thatisexcludedfromthefirstequation.Theorderconditionisnecessaryfortherankcondition.Therankconditionrequiresmore:atleastoneoftheexogenousvariablesexcludedfromthefirstequationmusthaveanonzeropopulationcoefficientinthesecondequation.,Estimationby2SLS,Thisissimilarinthepreviouschapter.,SYSTEMSWITHMORETHANTWOEQUATIONS,ORDERCONDITIONFORIDENTIFICATION,AnequationinanySEMsatisfiestheorderconditionforidentificationifthenumberofexcludedexogenousvariablesfromtheequationisatleastaslargeasthenumberofright-handsideendogenousvariables.Overidentifiedequation,justidentifiedequation,andunidentifiedequation.,Estimation,2SLS3SLS–MoreefficientusingtheresidualstodoGLSestimationatthethirdstage.Moresensitivetovariableselection.,SIMULTANEOUSEQUATIONSMODELSWITHPANELDATA,(1)eliminatetheunobservedeffectsfromtheequationsofinterestusingthefixedeffectstransformationorfirstdifferencing;(2)findinstrumentalvariablesfortheendogenousvariablesinthetransformedequation.Challenging,becauseforaconvincinganalysisweneedtofindinstrumentsthatchangeovertime.,Howtodoifyouwanttoidentifythefixed-effects?,Puttimedummiesandfixed-effectsdummiesinthestructuralmodel.,Theend.,
- 配套講稿：
如PPT文件的首頁顯示word圖標，表示該PPT已包含配套word講稿。雙擊word圖標可打開word文檔。
- 特殊限制：
部分文檔作品中含有的國旗、國徽等圖片，僅作為作品整體效果示例展示，禁止商用。設計者僅對作品中獨創(chuàng)性部分享有著作權。
- 關 鍵 詞：
- 截面 面板 數(shù)據(jù) 分析 課件 復旦大學 陸銘張晏
裝配圖網(wǎng)所有資源均是用戶自行上傳分享，僅供網(wǎng)友學習交流，未經(jīng)上傳用戶書面授權，請勿作他用。
鏈接地址：http://www.szxfmmzy.com/p-11534330.html