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Introductory Developments Read chapter Read first chapter

2024 | OriginalPaper | Chapter

8. Simultaneous Equations Models

Author : Valérie Mignon

Published in: Principles of Econometrics

Publisher: Springer Nature Switzerland

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Abstract

Many economic theories are based on models with several equations, i.e., on systems of equations. Since these equations are not independent of each other, the interaction of the different variables has important consequences for the estimation of each equation and for the system as a whole. This chapter tackles this issue and deals with simultaneous equations models. It starts by outlining the analytical framework before turning to the possibility or not of estimating the parameters of the model, known as identification. It then presents the estimation methods relating to simultaneous equations models and the specification test proposed by Hausman. An empirical application is provided at the end of the chapter to illustrate the concepts presented in a simple way.

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previous chapter An Introduction to Time Series Models
Footnotes
1
The predetermined variables can thus be divided into two categories: exogenous variables and lagged endogenous variables.
 
2
However, the OLS method can be applied in the case of triangular (or recursive) systems.
 
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Metadata
Title
Simultaneous Equations Models
Author
Valérie Mignon
Copyright Year
2024
Book
Principles of Econometrics

Print ISBN: 978-3-031-52534-6

Electronic ISBN: 978-3-031-52535-3

Copyright Year: 2024

DOI
https://doi.org/10.1007/978-3-031-52535-3_8

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