book chapter · Wiley eBooks · 2011
Simultaneous Equations Models and Distributed Lag Models
Hengqing Tong, T. Krishna Kumar, Yangxin Huang
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Abstract
This chapter discusses the general situation in economics requiring regression models with more than one equation, i.e. the simultaneous equations model. There are two kinds of variables, endogenous variables and exogenous variables in an economic model. The chapter describes issue of improved least squares estimator (LSE), including the estimators of indirect least squares, and two stages least squares. In many economic examples there are lag effects such as consumption lag, inflation lag, deposit re-creation, etc. The chapter also discusses finite distributed lag models and infinite distributed lag models, including the determination of distributed lag length, Koyck transformation and estimation of the geometric lag model. It presents a few specific examples of simultaneous equations models, showed what kind of statistical inference problems they pose, and demonstrates the importance of a priori parametric restrictions. Controlled Vocabulary Terms inferential statistics; ordinary least squares; regression; simultaneous equations model
Cite this paper
Tong, H., Kumar, T. K., & Huang, Y. (2011). Simultaneous Equations Models and Distributed Lag Models. Wiley eBooks, 215–251. https://doi.org/10.1002/9781119954231.ch6
Tong, Hengqing, et al. “Simultaneous Equations Models and Distributed Lag Models.” Wiley eBooks, 2011, pp. 215–51, https://doi.org/10.1002/9781119954231.ch6.
Tong, Hengqing, T. Krishna Kumar, and Yangxin Huang. 2011. “Simultaneous Equations Models and Distributed Lag Models.” Wiley eBooks: 215–51. https://doi.org/10.1002/9781119954231.ch6.
Tong, H., Kumar, T.K. and Huang, Y. (2011) ‘Simultaneous Equations Models and Distributed Lag Models’, Wiley eBooks, pp. 215–251. Available at: https://doi.org/10.1002/9781119954231.ch6.
@incollection{tong2011simultaneous,
title = {{Simultaneous Equations Models and Distributed Lag Models}},
author = {Tong, Hengqing and Kumar, T. Krishna and Huang, Yangxin},
booktitle = {Wiley eBooks},
pages = {215--251},
year = {2011},
doi = {10.1002/9781119954231.ch6}
}Made from the index record. Check names, capitalisation and page numbers against the paper. Need another style? AI for Research has over 10,000.