On the Specification and Estimation of Large Scale Simultaneous Structural Models

Pu Chen and Joachim Frohn ()
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Joachim Frohn: University of Bielefeld

Chapter 2 in Modern Econometric Analysis, 2006, pp 7-24 from Springer

Abstract: Abstract This paper surveys the state of the art of the analysis and application of large scale structural simultaneous econometric models (SSEM). First, the importance of such models in empirical economics and especially for economic policy analysis is emphasized. We then focus on the methodological issues in the application of these models like questions about identification, nonstationarity of variables, adequate estimation of the parameters, and the inclusion of identities. In the light of the latest development in econometrics, we identify the main unsolved problems in this area, recommend a combined data-theory-driven procedure for the specification of such models, and give suggestions how one could overcome some of the indicated problems.

Keywords: Exclusion Restriction; Data Generate Process; Sample Information; Statistical Adequacy; Simultaneous Equation Model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-32693-9_2

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DOI: 10.1007/3-540-32693-6_2

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