Abstract
In the first section of this Chapter we consider identification of a model where the shock and each one of the exogenous variables present some degree of autocorrelation. The necessary and sufficient conditions for identification are derived, and the analysis is illustrated with two examples. Then we proceed to consider a general model where autocorrelation may or may not be present in the shock and in any number of exogenous variables. The analysis of this model brings together the results of all previous chapters.
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© 1979 Springer-Verlag Berlin Heidelberg
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Maravall, A., Neumann, K., Steinhardt, U. (1979). Autocorrelated Shock: Autocorrelated Exogenous Variables. The General Model. In: Identification in Dynamic Shock-Error Models. Lecture Notes in Economics and Mathematical Systems, vol 165. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-95339-2_6
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DOI: https://doi.org/10.1007/978-3-642-95339-2_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-09112-7
Online ISBN: 978-3-642-95339-2
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