Identification in dynamic shock-error models

MaRDI QIDQ1253518zbMATH OpenFDO

Authors Agustín Maravall

Publication date 1979

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

Dynamic Shock-Error ModelsEconometric IdentificationSystem of Covariance EquationsTime Domain Approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(14)

• Identification of simultaneous equation models with measurement errors based on time series structure
• Identification of stochastic linear systems in presence of input noise
• Asymptotic properties of estimators for autoregressive models with errors in variables
• Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables
• Simulated minimum distance estimation of dynamic models with errors-in-variables
• Identifiability of errors in variables dynamic systems
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS
• IDENTIFICATION OF NOISY LINEAR SYSTEMS WITH MULTIPLE ARMA INPUTS
• Measurement errors in dynamic models
• Maximum likelihood estimation of the dynamic shock-error model
• Identifiability of the deconvolution problem
• Global identification of the dynamic shock-error model
• Identification of the dynamic shock-error model with autocorrelated errors

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