Defining the Structural Form :: SAS/ETS(R) 12.1 User's Guide

Defining the Structural Form

An EST= input data set supplies the coefficients of the equation system. The data set containing the coefficients is normally a "TYPE=EST" data set created by the OUTEST= option of PROC SYSLIN or another regression procedure. The data set contains the special variables _TYPE_, _DEPVAR_, and INTERCEPT. You can also supply the structural coefficients of the system to PROC SIMLIN in a data set produced by a SAS DATA step as long as the data set is of the form TYPE=EST. Refer to SAS/STAT software documentation for a discussion of the special TYPE=EST type of SAS data set.

Suppose that there is a g $\times$ 1 vector of endogenous variables y $_{t}$ , an l $\times$ 1 vector of lagged endogenous variables $\mb {y} ^{L}_{t}$ , and a k $\times$ 1 vector of exogenous variables x $_{t}$ , including the intercept. Then, there are g structural equations in the simultaneous system that can be written

$\mb {G} \mb {y} _{t}=\mb {C} \mb {y} ^{L}_{t}+\mb {B} \mb {x} _{t}$

where G is the matrix of coefficients of current period endogenous variables, C is the matrix of coefficients of lagged endogenous variables, and B is the matrix of coefficients of exogenous variables. G is assumed to be nonsingular.

The SIMLIN Procedure

Defining the Structural Form