Study week on the econometric approach to development planning

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Monograph

Identifikator:: 1824422792

URN:: urn:nbn:de:zbw-retromon-217476

Document type:: Monograph

Title:: Study week on the econometric approach to development planning

Place of publication:: Amsterdam [u.a.]

Publisher:: North-Holland Publ. Co. [u.a.]

Year of publication:: 1965

Scope:: XLVII, 1259 S.; graph. Darst.

Digitisation:: 2022

Collection:: Economics Books

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Document type:: Monograph

Structure type:: Chapter

Title:: Dynamic structure and estimation in economy-wide econometric models / FranklinM. Fisher, Massachuetts Institute of Technology - Cambridge, Mass. - U.S.A.

Collection:: Economics Books

126 PONTIFICIAE ACADEMIAE SCIENTIARVM SCRIPTA VARIA - 28 safe to use endogenous variables as instruments is at least one less for use in higher-numbered than for use in the same or lower-numbered sectors. As a matter of fact, our result is a bit stronger than this. It is apparent from (5.26) that the use of endogenous variables lagged 0% periods as instruments in higher-numbered sectors involves covariances of the order of A+!H. Even the use of endogenous variables lagged 6*+1 periods as instruments in the same or lower-numbered sectors, however, involves cova- riances of the order of only A® +1. No positive power of H is involved in the first term of the expansion for the latter co- variances. Since H is diagonal with diagonal elements less than unity in absolute value, the difference between the mini- mum lag with which it is safe to use endogenous variables as instruments in the same or lower-numbered sectors and the corresponding lag for use in higher-numbered ones may be even greater than one. This point will be stronger the more stable one believes the dynamic system to be. It arises because the effects of serial correlation in sector and equation implicit disturbances are direct in the case of lagged endogenous vari- ables used in the same or lower-numbered sectors and are passed through a damped dynamic system in the case of lagged endogenous variables used in higher-numbered sectors (°°). To sum up: so far as inconsistency is concerned, it is likely to be safer to use endogenous variables with a given lag as instruments in higher-numbered sectors than to use them in the same or lower-numbered sectors. For the latter use, the endo- genous variables should be lagged by at least one more period to achieve the same level of consistency (31). (°) All this is subject to the minor reservation discussed above concern- ing sums each term of which approaches zero monotonically. In practice, one tends to ignore such reservations in the absence of specific information as to which way they point. (*!) The reader should be aware of the parallel between this result and the similar result for the use of current endogenous variables which emerges when (BR.1)-(BR.3) are assumed. Essentially. we have replaced (BR.2) with (5.10) and have dropped (BR.3). 61 Fisher - pag. 42

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