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Structural Equation Models - Econometric Modeling - Lecture Notes, Study notes of Econometrics and Mathematical Economics

Dr. Bhim Rao Ambedkar UniversityEconometrics and Mathematical Economics

Econometric models are statistical models used in econometric. This modelling tool help economist develop future economy plan for the company. This lecture note discuss important points for understanding Econometric modelling, it includes Structural, Equation, Models, Classic, Econometric, References, Variable

Typology: Study notes

2011/2012

Uploaded on 10/22/2012

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SAMPLE PROBLEMS
What are Structural
Equation Models?
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Download Structural Equation Models - Econometric Modeling - Lecture Notes and more Study notes Econometrics and Mathematical Economics in PDF only on Docsity!

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SAMPLE PROBLEMS

What are Structural

Equation Models?

Depress 1 Depress 2 Depress 3

Self rating MD rating # visits to MD

closenessSelf rated Spousalrating Kids rating

Family support (^) depression

Physical health

δ 1 δ 2 δ 3 ε 4 ε 5 ε (^6)

ε 1 ε 2 ε (^3)

ζ 1

ζ 2

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Classic Econometric

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 4

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β 32 β 31

γ 31

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y 1   11 x 1   1

y 4   41 y 1   42 y 2   43 y 3   41 x 1   1

Classic Econometric

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democracy 1982

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democracy 1991

1990 trust

industrialization 1980

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Mills, T. C.: The Econometric Modelling of Financial Time Series, Cambridge University Press,

Mittelhammer, Ron C., George G. Judge, and Douglas J. Miller: Econometric Foundations, Cambridge University Press, New York, 2000. Montgomery, D. C., Peck, E. A., and G. G. Vining: Introduction to Linear Regression Analysis , Wiley India, New York, 2006.

Mukherjee, Chandan, Howard White, and Marc Wuyts: Econometrics and Data Analysis for Developing Countries, Routledge, New York, 1998. Pindyck, R. S., and D. L. Rubinfeld: Econometric Models and Econometric Forecasts, 4th ed., McGraw-Hill, New York, 1990. Verbeek, Marno: A Guide to Modern Econometrics, John Wiley & Sons, New York, 2000. Wooldridge, Jeffrey M.: Introductory Econometrics, South-Western College Publishing, 2000. FAQS (FREQUENTLY ASKED QUESTIONS):

  1. In SEM the predetermined variable are a) Non‐stochastic variables determined exogenously b) Exogenous lagged variable c) Lagged endogenous variables d) All of above
  2. Expressing each endogenous variables as function of predetermined variable and random error term a) The structural equation b) Linear equation c) Reduced form equation

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d) Simultaneous equation

  1. An equation can be identified in SEM a) If the structural equation parameter can be obtained from the reduced form statistics b) If reduced form coefficient can be obtained from their structural equation estimate c) If the underlying theory is strong d) If all variable appear only once in the model
  2. There is no unique way of estimating the parameters of SEM if the model is a) Under identified b) Over identified c) Either a) or b) d) Exactly identified

SELF EVALUATION TESTS/ QUIZZES

  1. What does it mean for a model to be identified? a) The model is theory based. b) Fit indices for the model are all satisfactory. c) An SEM program successfully produces a solution for the model. d) There exists a unique solution for every free parameter in the model. e) None of them
  2. What are some possible ways of accounting for measurement errors of observed variables in SEM?
  3. The model

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Y = income I = investment T = taxes G = government expenditure u’s = the disturbance terms In the model the endogenous variables are C, I, T, and Y and the predetermined variables are G and Yt− 1. By applying the order condition, check the identifiability of each of the equations in the system and of the system as a whole. What would happen if rt , the interest rate, assumed to be exogenous, were to appear on the right-hand side of the investment