MACROECONOMETRICS

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
• DS 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 wpwg
• ivreg c (p L1.p wp_plus_wgyear g wg t L1.p k1
  L1.x )
• ivreg wp (x L1.x yearyear 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