Identification in Dynamic Shock-Error Models

Language: English

Published by Springer, J.B. Metzler Feb 1979, 1979

3540091122 / 9783540091127

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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000

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This item is printed on demand - Print on Demand Titel. Neuware -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 (in particular for the 'sufficiency' part of the proofs). Possibly this was also due to a lack of more high-powered analytical tools and/or more elegant derivations, for which I feel an apology coul be appropiate. With some minor modifications, this monograph is a Ph. D. dissertation presented to the Department of Economics of the University of Wisconsin, Madison. Thanks are due to. Dennis J. Aigner and Arthur S.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 172 pp. Englisch.…

Seller Inventory # 9783540091127

Title
Identification in Dynamic Shock-Error Models
Author
A. Maravall
Publisher
Springer, J.B. Metzler Feb 1979
Publication year
1979
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3540091122
ISBN 13
9783540091127
Item weight
309 grams
Dimensions
244x170x10 mm

buchversandmimpf2000

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