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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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