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st: Multi-equation macroeconometric simulation


From   Manfred Dix <mandix.stata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Multi-equation macroeconometric simulation
Date   Mon, 20 Apr 2009 10:38:24 -0500

Dear Statalisters:

I was wondering if anybody could give me a hint on the following:

Suppose I have a multi-equation [more than 2] macro-econometric model
for the US [or a state, does not matter].
And I estimate this model by Two-Stage-Least-Squares [2SLS]; thus
estimation is equation by equation,
with different equations using endogenous and exogenous variables.

Now, suppose I want to perform some simulations and do some [out of
sample] forecasting.
My problem here is that a dependent [endogenous] variable can be an
explanatory variable in a different equation,
and I am not sure if STATA simulation picks this up automatically in a
simulation, or if that needs to be programmed
somehow. I do not quite follow this in the manuals. Thus my question:

Is there a good reference that you could point me to where this is
explained how I could do this in STATA?
I know the manuals have 2SLS explained, and also 3SLS [with the
Lawrence Klein I model],
but I was wondering if any of  have other references that might be useful.

Thank you very much!!

Manfred Dix
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