Questions tagged [simultaneous-equation]

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Questions about Seemingly Unrelated Regression when all covariates are the same, but Y is different

Assuming I was estimating the same regression model, but had two dependent variables. Say one is income for women, and one is income for men. I want to understand if I understand the reason for using ...
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13 views

Rank condition for identification

In Basic Econometrics, Gujarati and Porter define a rank condition for identification of simultaneous equations: What would be its proof?
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53 views

VAR as simultaneous equation model with panel data

Sir I want to estimate simultaneous equations , where I have industrial analysi equations measuring spillovers from peers to firms and firms to peer simultaneously.Let say , I want to test ...
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21 views

is there any equation that can be inferred from the parameters estimated with the method smooth.spline function in R?

If the answer is yes, what is the equation? of the smooth.spline function in R function where do I find the estimated coefficients for use in the equation? Thanks for the help
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Interpretation of indirect effect in SEM

Ancillary units have lesser probability of accessing formal finance (-0.027). But, through profitability, the indirect effect Ancillary unit has on Formal Funding is positive and significant at 1% ...
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1answer
559 views

Structural equation models in econometrics vs psychology, political science, etc

Can anyone tell me if the sort of the sort of simultaneous equation/structural equation modeling of economic relationships that that was championed and to some extent developed out of the Cowles ...
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1answer
313 views

How Many Moments Uniquely Define a Distribution with Finite Support?

Simple question, but one to which I could not find the exact answer elsewhere. How many moments of a discrete probability distribution with finite support are required to uniquely identify the exact ...
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70 views

Simultaneous GMM estimation: standard errors of common coefficients

So I am estimating a production function based on Wooldridge (2009) GMM adaptation of preexisting semi-parametric, 2-stage techniques. One of the upsides of GMM is simultaneous instead of sequential ...
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1answer
106 views

SUR and interaction terms

Suppose I want to determine if a simultaneous model (A) was identified: $y_1 = \beta_{10} + \beta_{11} x_1 + \beta_{12} y_2 + \epsilon_1$ $y_2 = \beta_{20} + \beta_{21} y_1 + \beta_{22} x_2 + \...
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70 views

Econometrics of demand for substitute goods

I've got a problem that seems to be exposing a fairly fundamental hole in my econometrics training. I'm looking for a canonical reference for how to deal with the following sort of problem: For ...
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313 views

Endogeneity and Simultaneity Issues with Independent Variables

One potential source for biased OLS coefficients is simultaneity (i.e. y and x are simultaneously determined). However, will the OLS coefficients also be biased if my independent (x) variables are ...
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252 views

Is this model identified?

Is this model identified? The paper is in plosone, but it seems to be that the combination of regression paths from PCS ~ MCS and ...
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1answer
49 views

Use of some dependent variable as covariate

The type of data I am interested has paired kind of responses. Let $Y_1, \ldots, Y_{n}$ denote first kind and $X_1, \ldots, X_{n}$ denote the second kind. I have a matrix $Z$ for covariates and $X$ ...
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Can I have an alternative mapping for this cubic equation?

I would like to plot some graphs with the general form $f(x)=ax^3+bx^2+cx+d$ on the domain $[0.5,1]$. The parameters $(a,b,c,d)$ are dependent on some other variables $(p,q,r)$ and they satisfy all ...
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334 views

Simultaneous equations with interaction terms

How do you estimate the following simultaneous equation model on a panel dataset? $Y_1=\beta_1X_1Y_2 +\beta_2X_2+e_1$ $Y_2=\alpha_1X_1Y_1 +\alpha_2 X_3+e_2$ $Y_1$ and $Y_2$ are endogenous while $...
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1answer
365 views

Simultaneity bias when a variable enters lagged into equation

I'm fairly new to econometrics and I'm trying to understand the simultaneity bias in my investigation: I'm investigating to what extent salary influences performance in Major League Baseball using ...
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3answers
586 views

Simultaneous equation model without instrumental variables

Very short question: are there tools (by preference in R or Stata) to solve a simultaneous equation model, without needing instrumental variables? In my case, I would like to model irrigation and ...
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69 views

Testing simultaneous equality of contrasts

I have a one-way ANOVA model with 3 treatments. I have contrasts $\hat{\theta}_1=\hat{\mu}_1+\hat{\mu}_2$ and $\hat{\theta}_2=\hat{\mu}_3-\frac{1}{2}(\hat{\mu}_1+\hat{\mu}_2)$. I want to do a ...
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1answer
977 views

How to derive 2x2 cell counts from contingency table margins and the odds ratio

I'm certain there's a unique solution to this, and I think I've worked it out before but now it has me pulling my hair out: Given the margins of a 2x2 contingency table such as the prevalences of a ...
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1answer
391 views

How to estimate a VAR with simultaneous interactions?

I want to analyse the interactions between the following data: tourist arrivals (my variable of interest) income of the tourists accomodation capacity (in number of rooms in hotels) a confidence ...
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1answer
113 views

help with some symbolic computation/EM algorithm

I have to maximize $Q(\theta;\theta')$ with respect to $\theta$ at every iteration of my EM algorithm. It boils down to solving these two equations for $\eta$ and $\gamma$ (all the $s_i$s are ...
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1answer
370 views

How to express cells of a 2x2 table in terms of phi coefficient and marginal probabilities

Consider a typical 2x2 table of frequencies (shown in this image): Notation: The row variable is denoted R and takes on values 0 or 1; the column variable is denoted C and takes on values 0 or 1. The ...
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845 views

autoregressive models vs simultaneous equations models

I know that when the model is a simultaneous equation, you can't always use OLS to estimate the parameters. You will get biased estimators and most important inconsistent. But if all the variables are ...
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1answer
171 views

About Identification in a 3 equation SEM

I got this example and I was wondering about a certain statement: $$ \begin{aligned} (I) \ y_1 &= \alpha_{12}y_2 + \alpha_{13}y_3 + \beta_{11}z_1 + u_1 \\ (II) \ y_2 &= \alpha_{21}y_1 + \...