| 書目名稱 | Identification in Dynamic Shock-Error Models | | 編輯 | Agustin Maravall,Klaus Neumann,Ulrich Steinhardt | | 視頻video | http://file.papertrans.cn/461/460828/460828.mp4 | | 叢書名稱 | Lecture Notes in Economics and Mathematical Systems | | 圖書封面 |  | | 描述 | Looking at a very simple example of an error-in-variables model, I was surprised at the effect that standard dynamic features (in the form of autocorre- 11 lation. in the variables) could have on the state of identification of the model. It became apparent that identification of error-in-variables models was less of a problem when some dynamic features were present, and that the cathegory of "pre- determined variables" was meaningless, since lagged endogenous and truly exogenous variables had very different identification properties. Also, for‘the models I was considering, both necessary and sufficient conditions for identification could be expressed as simple counting rules, trivial to compute. These results seemed somewhat striking in the context of traditional econometrics literature, and p- vided the original motivation for this monograph. The monograph, therefore, atempts to analyze econometric identification of models when the variables are measured with error and when dynamic features are present. In trying to generalize the examples I was considering, although the final results had very simple expressions, the process of formally proving them became cumbersome and lengthy ( | | 出版日期 | Book 1979 | | 關(guān)鍵詞 | Identifikationsverfahren; calculus; econometrics; economics; ?konometrie | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-95339-2 | | isbn_softcover | 978-3-540-09112-7 | | isbn_ebook | 978-3-642-95339-2Series ISSN 0075-8442 Series E-ISSN 2196-9957 | | issn_series | 0075-8442 | | copyright | Springer-Verlag Berlin Heidelberg 1979 |
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