TAILIEUCHUNG - Lecture Introductory Econometrics for Finance: Chapter 7 - Chris Brooks

In this chapter, you will learn how to: Compare and contrast single equation and systems-based approaches to building models; discuss the cause, consequence and solution to simultaneous equations bias; derive the reduced form equations from a structural model; describe several methods for estimating simultaneous equations models; explain the relative advantages and disadvantages of VAR modelling;. | ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Chapter 7 Multivariate models ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Simultaneous Equations Models All the models we have looked at thus far have been single equations models of the form y = X + u All of the variables contained in the X matrix are assumed to be EXOGENOUS. y is an ENDOGENOUS variable. An example from economics to illustrate - the demand and supply of a good: (1) (2) (3) where = quantity of the good demanded = quantity of the good supplied St = price of a substitute good Tt = some variable embodying the state of technology ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Assuming that the market always clears, and dropping the time subscripts for simplicity (4) (5) This is a simultaneous STRUCTURAL FORM of the model. The point is that price and quantity are determined simultaneously (price affects quantity and quantity affects price). P and Q are .

• Kinh tế học
• Econometrics for Finance
• Introductory Econometrics for Finance
• Regression model
• Purpose of econometrics
• Multivariate models
• Simultaneous equations models
• Econometric model
• Financial modelling
• Straight lines
• Statistical foundations
• Classical linear regression model
• Regression analysis
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Modelling long run relationship
• Stochastic non stationarity
• Modelling volatility
• GARCH models
• Switching models
• Switching behaviour
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Simulation methods
• Random number generation
• Empirical research project
• Research project
• Financial data