scholarly journals ESTIMATING A LINEAR SIMULTANEOUS EQUATION MODEL WITH PANEL DATA

2005 ◽  
Vol 50 (spec01) ◽  
pp. 475-494 ◽  
Author(s):  
SOO-BIN PARK
Keyword(s):  
Panel Data ◽  
Single Equation ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Small Sample ◽  
Simultaneous Equation Model ◽  
Individual Effects ◽  
Linear Simultaneous Equation ◽  
The Individual ◽  
Time Invariant

In this paper we consider a class of the GMM estimators for a linear simultaneous equation model with panel data. The model is characterized by the presence of unobserved individual effects as part of structural disturbances and by the correlation of certain time-varying and time-invariant exogenous variables with the individual effects. A class of single-equation and system GMM estimators is proposed on the basis of a class of instruments as a unifying theme. Small-sample performance of this class of estimators is also investigated by a series of sampling experiments.

scholarly journals Characterisation of k-Class estimation in simultaneous equation models

1969 ◽  
Vol 74 (3) ◽  
pp. 307-310
Author(s):  
José F. Burguete ◽  
Esteban Burguete
Keyword(s):  
Estimation Method ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Geometric Characterization ◽  
Simultaneous Equation Model ◽  
Oblique Projector ◽  
Linear Simultaneous Equation ◽  
Whole Space ◽  
Simultaneous Equation Models

This paper presents the direct geometric characterization of the k-Class estimation method in a linear simultaneous equation model. The concept of oblique projector is used. The paper also exhibits several estimators generated by projecting along subspaces of the whole space along which this class is projected.

scholarly journals Exchange Rate Determination in Pakistan: A Simultaneous Equation Model

1996 ◽  
Vol 35 (4II) ◽  
pp. 683-692 ◽  
Author(s):  
Rehana Siddiqui ◽  
Usman Afridi ◽  
Zafar Mahmood
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Current Account Deficit ◽  
Single Equation ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Nominal Exchange Rate ◽  
Equilibrium Path ◽  
Simultaneous Equation Model ◽  
Traded Goods

In recent years the gap between real exchange rate (RER) and nominal exchange rate (NER) has widened in Pakistan. A proper understanding of the determinants of real exchange rate can be extremely useful for the management of current account deficit. The results of this study show that the Simultaneous Equation Model gives better results than the Single Equation Model. The estimated coefficients reveal that changes in both monetary and real sector variables affect the equilibrium path of RER. The distinction between traded and non-traded goods can also help in proper real exchange rate management.

R&D Rivalry in the U.S. Automobile Industry: A Simultaneous Equation Model Approach to Bain's Hypothesis

1998 ◽  
Vol 42 (1) ◽  
pp. 42-55 ◽  
Author(s):  
Lall B. Ramrattan
Keyword(s):  
Automobile Industry ◽  
Single Equation ◽  
Simultaneous Equation ◽  
Equation Model ◽  
System Model ◽  
System Of Equations ◽  
Simultaneous Equation Model ◽  
Concerted Effort ◽  
The U.S ◽  
Model Approach

This paper investigates rivalry in R&D expenditures for firms within the U. S. Automobile industry. It attempts to falsify Bain's paradigm that firms in that industry collude in price, and compete primarily in advertising and secondarily in R&D expenditures. We start with a single equation model of an earlier specification that falsified R&D rivalry for the auto industry, using a smaller sample size. The result also was insignificant, lending credence to Bain's idea that a more concerted effort is needed to ascertain R&D rivalry. To accommodate Bain's hypothesis, we embedded the R&D equation within a system of equations framework, where interactions between advertising, dividend, investment, and finance are co-determined. The system model gained efficiency through explicit specifications for technological and marketing constraints. The results corroborate Bain's hypotheses that R&D rivalry is present only when R&D expenditure is foiled with advertising and other financial ratios.

scholarly journals ESTIMASI PARAMETER PADA SISTEM MODEL PERSAMAAN SIMULTAN DATA PANEL DINAMIS DENGAN METODE 2 SLS GMM-AB

2018 ◽  
Vol 11 (2) ◽  
pp. 79-91
Author(s):  
Arya Fendha Ibnu Shina
Keyword(s):  
Panel Data ◽  
Structural Equation ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Dynamic Panel Data ◽  
Least Square ◽  
System Model ◽  
Reduced Form ◽  
Simultaneous Equation Model ◽  
Dynamic Panel

Single equation models ignore interdependencies or two-way relationships between response variables. The simultaneous equation model accommodates this two-way relationship form. Two Stage Least Square Generalized Methods of Moment Arellano and Bond (2 SLS GMM-AB) is used to estimate the parameters in the simultaneous system model of dynamic panel data if each structural equation is exactly identified or over identified. In the simultaneous equation system model with dynamic panel data, each structural equation and reduced form is a dynamic panel data regression equation. Estimation of structural equations and reduced form using Ordinary Least Square (OLS) resulted biased and inconsistent estimators. Arellano and Bond GMM method (GMM AB) estimator produces unbiased, consistent, and efficient estimators.The purpose of this paper is to explain the steps of 2 SLS GMM-AB method to estimate parameter in simultaneous equation model with dynamic panel data.  Keywords:2 SLS GMM-AB, Arellano and Bond estimator, Dynamic Panel Data, Simultaneous Equations

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