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Published in:
Single-Equation Econometric Model Read chapter Read first chapter

2023 | OriginalPaper | Chapter

2. Multi-Equation Econometric Models

Author : Jerzy Witold Wiśniewski

Published in: Forecasting from Multi-equation Econometric Micromodels

Publisher: Springer Nature Switzerland

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Abstract

The second chapter presents elementary information connected with the construction of econometric models consisting of many equations. Such models are used to describe economic systems or only parts of them. Three classes of these models are presented, i.e. simple models, recursive models, and systems of interdependent equations. The structural form of such a model and its reduced form are discussed. The essence and the need to identify the multi-equation model were explained. The basic methods of estimating the parameters of models belonging to each of the indicated classes are also characterized.

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Footnotes
1
A structural form multi-equation model reflects the full structure of interdependent variable interdependence and the direct impact of predetermined variables on each of the interdependent variables.
 
2
Designations Y and Z have been explained in connection with Eq. (2.2).
 
3
The original structural-form variable designations can be used, or new designations can be introduced by assigning a new designation ztj to each of the exogenous and endogenous lagged variables.
 
4
The G(K + 1) size results from the dimensions of matrix A, which contains that many elements.
 
5
Matrix Wg has been constructed from the model parameters occurring at the variables which do not appear in
the g-th equation (g = 1, …, G).
 
Metadata
Title
Multi-Equation Econometric Models
Author
Jerzy Witold Wiśniewski
Copyright Year
2023
Book
Forecasting from Multi-equation Econometric Micromodels

Print ISBN: 978-3-031-27491-6

Electronic ISBN: 978-3-031-27492-3

Copyright Year: 2023

DOI
https://doi.org/10.1007/978-3-031-27492-3_2