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Questions tagged [simultaneous-equation-model]

In simultaneous equations models, dependent variables are functions of other dependent variables. Thus some of the explanatory variables are jointly determined with the dependent variable. For instance, in the simple model of supply and demand, price and quantity are jointly determined.

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In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$, is it true that $a_0,a_1$ are identified while $b_0,b_1,b_2$ are not?

In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$ and $Q_s=Q_d$, where $P$ is price, $Y$ is income, $u,v$ are the unobserved error terms. what are the identified parameters and ...
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Search and Matching model Endogenous separation Walsh (2003)

I am trying to replicate the Search and Matching model Walsh (2003) https://escholarship.org/content/qt6tg550dv/qt6tg550dv.pdf I am struggling with the aggregate output of the wholesale sector (...
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Simultaneity intuition for correlated error terms

I'm reading through Asymptotic Theory for Econometricians by Halbert White and am trying to figure out the intuition for situations where the errors would be correlated. Here's the setup: $Y_{t1} = Y_{...
financial_physician's user avatar
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How to estimate $\gamma$ in the following model?

Suppose I have the following model: $Q=1(x'\beta+e>0)$, $D=1(x'\alpha+\gamma Q+u>0)$ and I want to estimate $\gamma$, the error terms $e,u$ are jointly normal. If $e$ and $u$ are correlated, can ...
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Is it possible to get a demand function as function of income and utility from this log linear indirect utility?

I have this indirect utility function: $$v=-c\frac{p^{(-β+1)}}{(-\beta+1)}+\frac{y^{(-\gamma+1)}}{(-\gamma+1)}$$ with constraint Y = c + pq I have posted before about getting the utility function from ...
Victor Nielsen's user avatar
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Multicollinearity problem

I am trying to model contract outcomes, let's say for car sales and I am interested if a certain group of people is better in negotiating better deals (e.g. women). The dependent variable is price, ...
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HANK model lecture notes + code

Can someone recommand me good lecture notes to understand macroeconomic heterogenous agent models such as HANK models (not TANK models, I know how them). Also if you know where I could find some codes ...
BAL's user avatar
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Equilibrium with substitute goods

I am attempting to solve the following problem The demand functions for two substitute goods, the production cost of which equals $c_1$ and $c_2$, are $q_1 = a_1 + b_{11}p_1 + b_{12}p_2$ and $q_2 = ...
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Is this an an endogeneity/simultaneity problem?

I would like to know if the logic in these two situations is correct. Situation 1: Let's say we have a continuous dependent variable, $y_1$, that then has a causal impact on an unobserved variable, $\...
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Are simultaneous equation models out of fashion? Why?

According to Angrist & Pischke "Undergraduate econometrics instruction: Through our classes, darkly" (2017) Tables 2 and 3, econometrics textbooks deemphasized simultaneous equation ...
Richard Hardy's user avatar