Professor Dr.

Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

:


) (Reciprocal causation Causation rciproque X
.
Y Y X


Y X Y . X
:
) The identification problem Le problme
(didentification

) (Unique values Valeurs uniques
) (structural equations Equations structurales
).(The reduced form La forme rduite


) (
) (Measurability - Mesurabilit
.
)(
) (Tt ) (Rt ) (Yt

:

Yt = 0 + 1Tt + 2 Rt + U t

) (Nonexperimental variables Variables non exprimentales

......
:

223

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

E (TtU t ) = 0

E (RtU t ) = 0

) (OLS
.
Tt 2

) (Interaction Interaction
) (Tt Rt Ft
) (M t
.



.......
:

Yt = 0 + 1Tt + 2Tt 2 + 3 Rt + 4Tt Rt + 5 Ft + 6 M t +

7 Lt + ... ... + U t
) (Ft ) (Yt

E (FtU t ) = 0


.

) (Biased estimates Estimateurs Biaiss
) Inconsistency of OLS estimators Inconsistance des
.(estimateurs des MCO
:
Yt = 0 + Ft + U t

:
Yt = Ft + U t

224

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

Ft :

Ft Yt = t Ft 2 + Ft U t
:
Ft Yt FtU t

Ft 2
Ft 2

= t

Ft U t E (FtU t ) 0
Ft Yt
t
Ft 2

FtU t .

E ( XU ) = 0

.
. Qs
Qd


) (P Qs Qd :

Qs = a 0 + a1 P
Q s = b0 + b1 P

e
.

.
Qd = Qs = Q



P0
Qd = Qs = Q0 :

225

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

)(1
Qd

Qs

P0

Q0

:
)(1
)(2

Q = a 0 + a1 P
Q = b0 + b1 P

Q P
. Q :

a 0 + a1 P = b0 + b1 P

a 0 b0 = b1 P a1P
a0 b0
b1 a1

) (3

=P

P :

) (Q b0

Q = a 0 + a1
b
1

b1Q a1Q = b1 a 0 a1b0

226

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

b1a0 a1b0
b1 a1

)(4

=Q

) (3 ) (4
) (1) (2

Q P
) (Mathematically complete Mathmatiquement complet
.
) (3 ) (4 Q P b 1 , a 1 , b 0 , a 0
Q P
) (Q, P Q . P

) (b1 , a 1 , b 0 , a 0 Q . P
) Q (
) (4
:
b1a0 a1b0
b1 a1

=Q

b 1 , a 1 , b 0 , a 0 . Q
) (3 b 1 , a 1 , b 0 , a 0
. P )(3
) (4 b 1 , a 1 , b 0 , a 0

.
) Unidentified or under Identified Non identifies
(ou sous identifies
b 1 , a 1 , b 0 , a 0
.


.

)(Unique values Valeurs uniques
b 1 , a 1 , b 0 , a 0
Q P ) (3 ) (4 .
Q P
.

227

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

.



.
) (P0 Q0 T0 ) (P1Q1 T1...........
:
)(2
QS 1

QS 2

QS 0

P2

Qd 2

P1

Qd 1

P0

Qd 0

........... .

.

) (Hybrid - Hybride .
) (P2 , Q2 ), (P1 , Q1
........

.

) (Shifts )
(Changes in production costs
(Changements dans les cots de production
228

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

)(3

QS 2

QS 1

QS 0

P0
P1

P2

Qd

)

...... ( ) (
:
)(4
P
QS
P2

Qd 2
P1

Qd 1

P0
Qd 0

229

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

)(1
) (2 -
.
.1


) (R R

:

Q S = a 0 + a1 P + a 2 R + U 1
Qd = b0 + b1 P + U 2
:

Qd = Qs = Q
R ) Exogenous -
(Exognes U 2
) (Instrumental variable Variable instrumentale
:

Q = b0 + b1 P + U 2
b0 = 0

Q = b1 P + U 2
R :

RQ = b1 RP + RU 2
R U 2 RU 2 = 0 :

Hubert M. Blalock Jr., "Theory Construction" Prentice-Hall International, Inc., 1969, PP: 50-59.

230

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

RQ
RP

.

.
)Under identified Sous-
(identifie ) Exactly
.(identified Exactement identifie
= b1

) (Y Y
) (R .
:

Q S = a 0 + a1 P + a 2 R + U 1
Qd = b0 + b1 P + b2Y + U 2

R
Y
.
) (T
T :

Q S = a 0 + a1 P + a 2 R + a 3T + U 1
Qd = b0 + b1 P + b2Y + U 2

) (T & R
).(Over identification - Suridentifie


: 2
Wonnacott & wonnacott. PP: 172-189
231

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

)Exactly
:

(Identified Exactement identifie
) ( .
)Under
:
(Identified Sous-identifie
) ( .
)Over
:
(Identified Sur-identifie
) ( .
:

D = a 0 + a1 P + a 2Y + U 1
S = b0 + b1 P + U 2

D=S


) ( S & P
) . (Y
) Determinants -
.(Dterminants

:

D = a 0 + a1 P + a 2Y + U 1
S = b0 + b1 P + U 2

D=S
:

D + (0 ) S a1 P a 2Y a 0 = U 1

)(1

D + (1) S b1 P (0)Y b0 = U 2

)(0

232

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

D (1) S (0 )P (0 )Y 0 = 0

)(1

:
b

D U 1
S

P = U 2

Y
I 0

a0
b 0
0

a2

a1

b1

1
0

) (1 X
.(Intercepts - Constantes) b0 a 0

A ) (Column - Colonne
) (0 ) (Raw - Ligne .
.
0
A 1 ) (Rank - Rang
1

) (Vector - Vecteur .
.
A
:
1 a 2
0 0

1
0

) (Not squared Non carre

) (Submatrix Sous matrice
2*2
.2

233

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

:

.
.
) (Under identified or Unidentified Sous-identifie
. ) (Exactly identified
) ILS: Indirect Least Squares
(MCI: Moindres Carrs Indirects
) (2SLS: Tow-Stage least squares -DMC: Doubles Moindres Carrs
.
) (2SLS ) (ILS )(2SLS
) The standard error of the
estimated structural parameters Lcart type des estimateurs des
.(paramtres structurels
:

)(1

Q D = a 0 + a1 P + a 2Y + U 1

)(2

Q S = b0 + b1 P + b2T + U 2

)(3

QD = QS = Q

.

) (ILS

) Predetermined variables Variables
(prdtermines
. Q
Y T P Y . T
P ) (1 ):(2

Wonnacott & wonnacott. PP: 355-356

234

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

Q b0 b2T U 2
Q = a 0 + a1
+ a 2Y + U 1
b
1

b1 a 2
a 1 b2
+
Y +
T
b
a
b
a

1
1
1
1

a b a 1 b0
Q = 0 1
b1 a 1

)(4

b U a 1U 2
+ 1 1
b1 a 1

Q ) (1 ):(2

b0 + b1 P + b2T + U 2 = a 0 + a1 P + a 2Y + U 1

)(5

U U2
b2
a b a2

T + 1
Y +
P = 0 0 +

b
a
b

a
b
a
b
a

1
1
1
1
1
1
1
1

) (4 ) (5 Q
Y . T P
Y . T ) (4) (5 :

Q = 0 + 1Y + 2T + V1
P = 3 + 4Y + 5T + V2
:
a 0 b1 a1 b0
b1 a1
b1a 2
=
b1 a 1
a1b2
=
b1 a 1
a b0
= 0
b1 a 1
a2
=
b1 a 1

= 0

b2
b1 a 1

235

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

b1U 1 a1U 2
b1 a1
U U2
V2 = 1
b1 a 1

V1 =

:
a1b2
b1 a 1
(b a 1 )

1
= 2.
= 2
a1 = 2 1
b2
5 5
b1a 2
1 =
b1 a 1

1 (b1 a 1 )

b1 =

a2
=

= 1.

1
4

a2
b1 a 1

a 2 = 4 (b1 a 1 ) = 4 . 1 2
4 5

b2
b1 a 1

b 2 = 5 (b1 a 1 ) = 5 . 2 1
5 4

a 0 b0
b1 a 1

a 0 = 3 (b1 a 1 ) + b 0
0 =

a 0 b1 a1 b0
b1 a1

0 =

b1 [ 3 (b1 a1 ) + b0 ] a1 b0
b1 a1
236

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

b1 3 (b1 a1 ) + b1b0 a1b0

= b1 3 + b0
b1 a1

1

3 = 3 . 0 1
4
3 4

= 0

b0 = 0 b1 3 = 0

a 0 = 3 . 0 2
3 5

Q Y T
2 , 1 , 0 P Y T
5 , 4 , 3
.

a1 , b0 , a 0

b 1 ,

) (ILS - MCI

).(2SLS - DMC
P Y T

:

P = C 0 + C 1Y + C 2T
Q P Y :

Q = a0 + a1 P + a 2Y
P Y
T Q P T .

) (2SLS - DMC ) (ILS - MCI ) 2SLS -

(DMC )(2SLS - DMC

) (ILS - MCI .

:
) :(1 :

237

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

) (1 ) ( M
) (Y = GNP -
(G ) - 4 1968-1976 .
:

)(1

Yt = a 0 + a 1 M t + a 2 G t + U 1 t

) (2

M t = b 0 + b 1Y t + U 2 t

)(1
) (M t ) (Yt
) (G t
1968-1976

1968

4810

15360

4688

1969

4320

16110

5196

1970

5130

17150

5545

1971

5470

18900

6208

1972

5530

20600

7336

1973

5720

22080

8585

1974

8410

28110

10872

1975

12590

31820

12839

1976

19870

37710

15168

4 ) (1 :
, -, " " - , 1977 ,36,8 : .5
-International Financial Statistics, April 1979, PP:260-262
238

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

7983.3

23093.33

8493

5145.22

7775.69

3703 .21

M:
S:

Y
) ( M ) (G ) ( M . Y
) Endogenous
(variables Variables endognes ) (
) (Exogenous variables Variables exognes
) (1) (2 ) Simultaneous equations
(model Modle quations simultanes
) (Reciprocal causation Causation rciproque .
U 2 t )
( M M Y
U 2 t . Y U 2 t
Y ) (2

-
- .

.
) (2 (Money supply Offre de monnaie) M
) (Exactly identified Exactement identifies
) (Excludes - Exclut G )(includes - Exclut
M Y
M
. Y
) (Unidentified Non identifie .
M
) (ILM - MCI ) 2SLS -
(DMC
) (2SLS .
. ):(ILS - MCI

239

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

) (1)(2
) (Reduced form Forme rduite
:

)(1

Y = a 0 + a1 M + a 2G + U 1

) (2

M = b 0 + b 1Y + U 2

M ) (1 ):(2

Y = a 0 + a1 (b0 + b1Y + U 2 ) + a 2G + U 1

)(3

a2
a U + U1
+
G + 1 2

1 a1 b1
1 a1 b1

a b + a0
Y = 1 0
1 a1 b1

Y ) (2 ):(1

M = b0 + b1 (a0 + a1M + a2G + U1 ) + U2

)(4

b1 a 2
b U + U2
+
G + 1 1

1 a1 b1
1 a1 b1

b + b1 a 0
M = 0
1 a1 b1

) (3 ) (4
:

Y = 0 + 1G + V1
M = 2 + 3 G + V2
b0 b1 :
b1a 2
1 b1a 1

) 3 (1 b1 a 1
a2

3 (1 b1 a 1 ) 3
=
1 (1 b1 a 1 ) 1
240

= b1

= b1

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

b 0 + b1a 0
1 b1a 1

b0 = 2 (1 b1 a 1 ) b1 a 0

a 1b0 + a 0
1 b1a 1

a 0 = 0 (1 b1 a 1 ) a 1 b0

] b0 = 2 (1 b1 a1 ) b1 [ 0 (1 b1 a1 ) a1 b0

b0 = (1 b1 a1 )( 2 b1 0 ) + b1 a1 b0
b0 (1 b1a1 ) = (1 b1a1 )( 2 b1 0 ) = 2 b1 0
) (1 :

) Y = F (G
R 2 = 0.891

Y = 11705 .02 + 1.4265 G

) M = F (G
R 2 = 0.8595

= 3166,03854 + 0.66726 G
M

:
3 0.66726
=
= 0.46776
1.4265
1

= b1

b0 = 2 b1 0

b0 = 3166.03854 (0.46776)(11705.02) = 2309.10

M = 2309.10 + 0.46776 Y
. ):(2SLS

241

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

Y G
) (1 :

) Y = F (G
R 2 = 0.891

Y = 11705 .02 + 1.4265 G

M Y
:

) M = F (Y
= 2309 .10 + 0.46776 Y
M
R 2
. R 2 = 0.86
) :(2 :

:
(1) :
Qdt = a0 + a1 Pt + a2Yt + U 1
(2) :
QS t = b0 + b1 Pt + b2T + U 2
:

Qd = Q S = Qt
Q t )Index numbers for food
(production Indice de production de la nourriture Pt
)Price index numbers for food stuff - Indice des prix des
(produits nutritifs Qd = Q S = Q t
. Pt Yt ) per capita
(disposable income Revenu disponible par habitant T ) Time
.(- Temps
) (2 T , Y t , Pt , Q t -1979
1970 1975 ): 5 (1975=100

5 ", ,"1970-1979
.1981
242

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

)(2
Q t
Pt Yt T
1970-1979

Yt

Pt

Qt

1.969

58.5

63

2.446

60.1

81

2.861

61.1

52

4.007

70.8

66

11.049

83.4

93

16.389

100.0

100

20.858

123.0

95

25.166

149.1

107

25.3602

145.5

101

10

26.6917

149.7

103

5.5

13.67969

100.121

M : 86.1

3.0277

10.4212

38.64

S : 19.41048

243

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

) (Exactly identified Exactement identifie

) (ILS - MCI ) 2SLS -
(DMC ) (2SLS - DMC
) (ILS -MCI
.
) (2SLS - DMC .
. ):(ILS - MCI

)(1

Qt = a0 + a1 Pt + a2Yt + U 1t

)(2

Qt = b0 + b1 Pt + b2T + U 2

Pt ) (1 ) (2 Q ) (2
) (1 :

a 1b2
Y t +

b1 a 1

b1a 2
+
b1 a 1

a b a 1b0
= 0 1
b1 a 1

U U2

T + 1
b1 a 1

b2

Y t +
b1 a 1

b U a 1U
+ 1 1
b1 a 1

a b0
a2
+
P t = 0
b1 a 1 b1 a 1

Qt = 0 + 1Yt + 2T + V1
Pt = 3 + 4Yt + 5T + V2
) (2 :

Q = 69.60 + 2.6721Y 3.6455 T

R 2 = 0.80

P = 48.065 + 3.3537 Y + 1.1231 T

R 2 = 0.9805

244

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

:
1
= 0.79676
4

= b1

2
= 3.2459
5

= a1

a 2 = 4 (b1 a1 ) = 4 1 2 = 13.558
4 5

b2 = 5 (b1 a1 ) = 5 2 1 = 4.54
5 4

a 0 = 3 (b1 a1 ) + b0 = 3 0 2 = 225.614
3 5

b0 = 3 (b1 a1 ) + a 0 = 3 0 1 = 31.30
3 4

Q t = 225 .614 3.2459 P + 13 .558 Y

:
Q = 31 .30 + 0 .79676 P 4 .54 Y

. :
:
P Y . T
) (2 :

P = 48.065 + 3.3537 Y + 1.1231 T

R 2 = 0.9805

)
Q t P .

) (2 :

245

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

Qt = 31.289 + 0.7968 P 4.5393 T

R 2 = 0.80

Qt = 225.142 3.236 P + 13.52 Y

R 2 = 0.80

246

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

247

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

248

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

. :

250

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

253

SPSS

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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257

EViews

Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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Professor Dr. Charbaji at CHARBAJI Consultants - Beirut-Lebanon 00961 1 355046

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269