Abstract
The analysis of identification performed in the previous chapters was directed towards the interaction of an errors-in-the-variables assumption with the dynamic properties of a model. Thus we analysed the effects of lagged variables in the structural equation and the effects of different patterns of autocorrelation for the shock and for the exogenous variables. By using relatively simple models, the identification properties of the dynamic features of the model could be isolated somewhat easily. Yet it seems worthwhile to see how the analysis could be extended to cover more general assumptions.
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© 1979 Springer-Verlag Berlin Heidelberg
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Maravall, A., Neumann, K., Steinhardt, U. (1979). Some Extensions of 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_7
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DOI: https://doi.org/10.1007/978-3-642-95339-2_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-09112-7
Online ISBN: 978-3-642-95339-2
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