Abstract
The second chapter presents elementary information connected with the construction of econometric models consisting of many equations. Such models are used to describe economic systems or only parts of them. Three classes of these models are presented, i.e. simple models, recursive models, and systems of interdependent equations. The structural form of such a model and its reduced form are discussed. The essence and the need to identify the multi-equation model were explained. The basic methods of estimating the parameters of models belonging to each of the indicated classes are also characterized.
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Notes
- 1.
A structural form multi-equation model reflects the full structure of interdependent variable interdependence and the direct impact of predetermined variables on each of the interdependent variables.
- 2.
Designations Y and Z have been explained in connection with Eq. (2.2).
- 3.
The original structural-form variable designations can be used, or new designations can be introduced by assigning a new designation ztj to each of the exogenous and endogenous lagged variables.
- 4.
The G(K + 1) size results from the dimensions of matrix A, which contains that many elements.
- 5.
Matrix Wg has been constructed from the model parameters occurring at the variables which do not appear in
the g-th equation (g = 1, …, G).
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Wiśniewski, J.W. (2023). Multi-Equation Econometric Models. In: Forecasting from Multi-equation Econometric Micromodels. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-031-27492-3_2
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DOI: https://doi.org/10.1007/978-3-031-27492-3_2
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Publisher Name: Springer, Cham
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Online ISBN: 978-3-031-27492-3
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