Measurement Error in a Dynamic Simultaneous Equations Model with Stationary Disturbances

DOI10.2307/1914194MaRDI QIDQ3048120zbMATH OpenOpenAlexFDO

Authors Cheng Hsiao

Publication date 1979

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1914194

zbMATH Keywords

dynamic simultaneous equations modeleconomic systemestimationfactorization of spectrafrequency domain approachidentificationrandom measurement errorsspectral analysisstationary disturbancestime seriestrivial transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited in

(5)

• Identification of simultaneous equation models with measurement errors based on time series structure
• The identification of multivariate linear dynamic errors-in-variables models
• Measurement errors and censored structural latent variables models
• Measurement errors in dynamic models
• Consistent estimation for some nonlinear errors-in-variables models

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