Questions tagged [simultaneous-equation]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
4 votes
1 answer
72 views

Can a variable be an instrument in the first stage and an exogenous covariate in the second stage of an 2SLS regression?

I have two equations of the form: $y = X\beta + Z\gamma + r\alpha +\epsilon_1$ (1) $r = Z\delta +\epsilon_2$ (2) The basic intuition here is $y$ is total cost data, $X$ is a matrix of variables ...
mirrror's user avatar
  • 43
0 votes
1 answer
100 views

Implementing SUR on weighted regression models

I have two equations: fit1= svyglm(Y1 ~ X1 + X2 + X3, design= design.mnps, data= data) fit2= svyglm(Y2 ~ X1 + X2 + X3, design= design.mnps, data= data) ...
User123's user avatar
  • 11
2 votes
1 answer
27 views

Estimating the parameter in a mixed population

I have different mixed populations where everyone as received a treatment among a list of treatment (let say Ta, Tb, Tc....). I know how many received each treatment. For each population, I know how ...
elvis bernard's user avatar
0 votes
0 answers
48 views

Identification in a non-linear simultaneous equation model

I have the following model: \begin{align*} &\ln(cs_t)=c_1+c_2\ln(cs_{t-1})+c_3\ln(y_t)+c_4q1_t+c_5q2_t+c_6q3_t+u_{1t}\newline &\ln(i_t)=c_7+c_8\ln(i_{t-1})+c_9\ln(b_t)+c_{10}(\ln(y_t)-\ln(y_{t-...
honkhonk's user avatar
0 votes
0 answers
124 views

Show by derivation why both Order and Rank conditions are needed for identification with instrumental variables

Why are both Order and Rank conditions needed for identification with instrumental variables?
Dr. T's user avatar
  • 23
1 vote
0 answers
70 views

How to run a panel with simultaneous equation model

I am doing a project with my professor and I am using R. We are trying to solve reverse causality problems with a set of equations. The equation system/model is below (Z is control variables set): $$...
KrHt Ran's user avatar
1 vote
1 answer
41 views

Demeaning (two-way) observations manually to perform SEM

I have S&P 500 panel data set spanning 10 years. I wish to remove firm and time-fixed effects before performing SEM regression. I want to manually demean all observations (by firm and time) as ...
Rupali's user avatar
  • 11
0 votes
0 answers
68 views

Simultaneous Equation Models and Endogeneity

I wanted to ask a question about Simultaneous Equations Models. Supposed I had the following system of equations: $ (1):y_1=\alpha+ \beta_1 y_{2}+ \beta_2x_{1}+\beta_3x_{2}+\varepsilon_i \\ (2):y_2=\...
DarkenExcalibur's user avatar
-2 votes
1 answer
197 views

Given marginal tables back solve for contingency table

How to programmatically solve problems similar to the below: Most basic example: Given two marginal tables, solve for 2x2 distribution. A Sum 0 3 1 7 B Sum 0 4 1 6 Solve for A B Sum 0 0 0 1 ...
user5309995's user avatar
1 vote
0 answers
40 views

SURE vs SEM: which one to use?

in my understanding, SEM should be applied in a case such as: \begin{equation} Y= \alpha_1 + \beta_1 X + \epsilon \end{equation} \begin{equation} X= \alpha_2 + \beta_2 Y + \epsilon \end{equation} as $...
Andrea's user avatar
  • 437
2 votes
0 answers
67 views

VAR with different distributions: Does this model exists?

I would like to know if models like the one below exist/make sense and, if so, how they are called. \begin{equation} X_t \sim \mathcal{Pois} ( \lambda_t ) \\ \lambda_t = \mu_1 + \alpha_1 X_{t-1} + \...
pietrosan's user avatar
3 votes
0 answers
115 views

Estimating a linear system of simultaneous equations at once

Consider the following simultaneous system $$ y_{1} =\beta _{1}y_{2}+\alpha _{1}z+u_{1} \\ y_{2} =\beta _{2}y_{1}+\alpha _{2}z+u_{2} $$ where $y_{1}$, $y_{2}$ and $z$ are vectors of random variables ...
Bert Breitenfelder's user avatar
1 vote
0 answers
28 views

detect incalculable variables

I have a bunch of equations in the form as follows. a+b+c+d=10 c+d+e+f=12 d+e+c=13 Where I am tying to calculate the values of each variable (many more equations ...
lwl59438cuoly's user avatar
0 votes
2 answers
805 views

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 ...
Steve's user avatar
  • 651
0 votes
0 answers
190 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 ...
adarshad's user avatar
0 votes
0 answers
187 views

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% ...
DjJinn's user avatar
  • 11
4 votes
1 answer
2k 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 ...
andrewH's user avatar
  • 3,117
10 votes
1 answer
1k 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 ...
housed_off_space's user avatar
1 vote
0 answers
234 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 ...
Magean's user avatar
  • 33
4 votes
1 answer
203 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 + \...
RegressForward's user avatar
1 vote
0 answers
87 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 ...
generic_user's user avatar
  • 13.3k
0 votes
0 answers
346 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 ...
Marc's user avatar
  • 1
3 votes
2 answers
443 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 ...
bjw's user avatar
  • 435
0 votes
1 answer
120 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 $X$ ...
Moses Kim's user avatar
  • 123
0 votes
0 answers
26 views

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 ...
Matthew Hui's user avatar
1 vote
0 answers
452 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 $...
statnoobie1's user avatar
0 votes
1 answer
446 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 ...
William Dawe's user avatar
0 votes
3 answers
945 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 ...
user33125's user avatar
  • 163
2 votes
0 answers
75 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 ...
Mark's user avatar
  • 41
5 votes
1 answer
2k 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 ...
JayDee's user avatar
  • 53
0 votes
1 answer
1k 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 ...
Siva Kg's user avatar
  • 23
2 votes
1 answer
139 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 ...
Taylor's user avatar
  • 20.7k
8 votes
1 answer
740 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 ...
John K. Kruschke's user avatar
0 votes
0 answers
1k 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 ...
GabyLP's user avatar
  • 693
5 votes
1 answer
193 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 + \...
Druss2k's user avatar
  • 1,103