ADVANCED ECONOMETRICS. MULTIPLE EQUATION MODELS. Exercises with SPSS, EVIEWS, SAS and STATA

Multi-equation econometric models are characterized by the presence of several equations to simultaneously estimate. It is thus a generalization of the models in the field of systems of equations.

Multi-equational simultaneous equations in linear models, incorporating the identification of models and techniques of estimation theory are covered in this book (MCI, MC2E, MC3E, RANR, SUR, etc.).

Then the models are dealt with multivariate time series (VAR VARX, VARMA, BVAR, VEC) dealing the Cointegration theory from the multi-equational standpoint.

Also delves into the non-linear multi-equational models and models of regression partitioned and segmented.

The development of practical exercises is carried out from a perspective multi-software, using the latest software on the market suitable for these non-trivial econometric tasks: SAS, EVIEWS, STATA y SPSS.

The book develops the following themes:

Multiple equation models. Simultaneous equations
Multi-equation linear models. Structural form and simultaneous linear equation models
Multi equation model in reduced form
Structural simultaneous equations model identification. MCI estimate
Estimate simultaneous linear equations model
Indirect Least Squares
Instrumental variables
Two Stage Least Square
Recursive models
Maximum Likelihood with limited information
Maximum Likelihood Full Information
Class k estimators and Tree Stage Least Square
RANR or SUR method
The heteroscedasticity robust methods : WHITE and HAC
Simultaneous linear equations with time series models
Simultaneous linear equations with eviews
Simultaneous linear equations models with SAS: SYSLIN and MODEL procedures
Simultaneous linear equations models with STATA
Multivariate time series models : VAR, VARX, VARMA and BVAR. Cointegration
Vector Autoregressive (VAR) models
Identification in VAR models
Estimate a VAR model
VARMA models
Cointegration in VAR models. Johansen test
VAR models with EVIEWS. Johansen test
Estimation VAR models in EVIEWS through menus
Cointegration in VAR models with EVIEWS through menus
Error Correction Model in VAR models with EVIEWS
VAR models with SAS. Causality test and cointegration.
Johansen test
Johansen test in VAR models with SAS
Error Correction Vector Model (VEC) in VAR models with SAS
VAR models with exogenous variables (VARX) in SAS
STATA and the VEC and VAR models. Causality test and cointegration. Johansen test
Non-linear models. Partitioned and segmented regression
Non- linear models
Simple non-linear models
Non-linear least squares. Newton and Marquardt algorithms
Partitioned regression
Segmented regression
Non-linear estimation and segmented regression with SPSS
Non-linear estimation with SAS. NLIN procedure
Non-linear simultaneous equations models with SAS: procedure MODEL
Non- linear models with EVIEWS
Non- linear models with STATA