第七章_联立方程模型和两阶段最小二乘法

1、第七章 联立方程模型和两阶段最小二乘法建立一个OBJECT。确定内外生变量：cc=c(1)+c(2)*PP+c(3)*PP(-1)+c(4)*(WP+WG)ii=c(5)+c(6)*PP+c(7)*PP(-1)+c(8)*KKWP=c(9)+c(10)*XX+c(11)*XX(-1)+c(12)*AAINST WG GG TT AA PP(-1) KK XX(-1) C回归结果：System: KLEINMODELEstimation Method: Two-Stage Least SquaresDate: 07/13/11 Time: 15:29Sample: 1921 1941Includ

2、ed observations: 21Total system (balanced) observations 63CoefficientStd. Errort-StatisticProb.C(1)16.554761.11.277250.0000C(2)0.0.0.0.8956C(3)0.0.1.0.0756C(4)0.0.18.110690.0000C(5)20.278218.2.0.0192C(6)0.0.0.0.4389C(7)0.0.3.0.0013C(8)-0.0.-3.0.0003C(9)1.1.1.0.2450C(10)0.0.11.081550.0000C(11)0.0.3.0

3、.0013C(12)0.0.4.0.0002Determinant residual covariance0.Equation: CC=C(1)+C(2)*PP+C(3)*PP(-1)+C(4)*(WP+WG)Instruments: WG GG TT AA PP(-1) KK XX(-1) CObservations: 21R-squared0.Mean dependent var53.99524Adjusted R-squared0.S.D. dependent var6.S.E. of regression1.Sum squared resid21.92525Prob(F-statist

4、ic)1.Equation: II=C(5)+C(6)*PP+C(7)*PP(-1)+C(8)*KKInstruments: WG GG TT AA PP(-1) KK XX(-1) CObservations: 21R-squared0.Mean dependent var1.Adjusted R-squared0.S.D. dependent var3.S.E. of regression1.Sum squared resid29.04686Prob(F-statistic)2.Equation: WP=C(9)+C(10)*XX+C(11)*XX(-1)+C(12)*AAInstrume

5、nts: WG GG TT AA PP(-1) KK XX(-1) CObservations: 21R-squared0.Mean dependent var36.36190Adjusted R-squared0.S.D. dependent var6.S.E. of regression0.Sum squared resid10.00496Prob(F-statistic)1.联立方程组解得：Model: UntitledDate: 07/13/11 Time: 15:42Sample (adjusted): 1921 1941Solve Options: Static-Stochasti

6、c SimulationSolver: BroydenMax iterations = 5000, Convergence = 1e-08Requested repetitions = 1000, Allow up to 2 percent failuresSolution does not account for coefficient uncertainty in linked equationsTrack endogenous: mean, standard deviationCalculating Innovation Covariance MatrixSample: ALLInsuf

7、ficient XX innovations - Equation treated as non-stochasticInsufficient PP innovations - Equation treated as non-stochasticMatrix scaled to equation specified variancesScenario: BaselineSolve begin 15:42:24Repetitions 1-200: successful 15:42:24Repetitions 201-400: successful 15:42:24Repetitions 401-600: successful 15:42:24Repetitions 601-800: successful 15:42:24Repe