The Identification Problem for Multiple Equation Systems with Moving Average Errors

DOI10.2307/1909577zbMATH Open0241.62049OpenAlexW2089974865MaRDI QIDQ5652084FDOQ5652084

Authors: E. J. Hannan 

Publication date: 1971

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1909577

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (37)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• The evaluation of exact maximum likelihood estimates for varma models
• A controlled linearized Kalman filter for economic forecasting and adaptive modelling
• First-order identification in linear models
• Modeling data revisions: measurement error and dynamics of ``true values
• Exact modelling and identifiability of linear systems
• Optimal predictor for a singular random process
• On identifiability of parametric statistical models
• The construction and estimation of continuous time models and discrete approximations in econometrics
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Properties of the parametrization of monic ARMA systems
• VARMA representation of DSGE models
• The linearisation and optimal control of large nonlinear rational expectations models by persistent excitation
• The identification of multivariate linear dynamic errors-in-variables models
• Z-transform and identification of linear econometric models with autocorrelated errors
• Identifiability criteria for Muth-rational expectations models
• Identifiability conditions for Generalised STARMA models
• Identification in statistical inference
• DSGE pileups
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Estimation of vector Armax models
• Time series analysis and simultaneous equation econometric models
• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
• Large sample estimation and testing procedures for dynamic equation systems
• THE ET INTERVIEW: ADRIAN PAGAN
• The uniqueness of the transfer function of linear systems from input- output observations
• Identification theory for high dimensional static and dynamic factor models
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Informative sampling for multivariate ARMAX systems
• The structural identifiability of linear models with autocorrelated errors in the case of cross-equation restrictions
• Local and global identification and strong consistency in time series models
• MEASUREMENT ERRORS IN DYNAMIC MODELS
• The common structure of parametrizations for linear systems
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
• A COMPARATIVE STUDY ON THE USE OF STATE‐SPACE REPRESENTATIONS FOR MULTIVARIABLE ECONOMIC SYSTEMS AND THE STRUCTURAL PROPERTIES
• The informative sample size for dynamic multiple equation systems with moving average errors
• Structural time series modeling: A Bayesian approach

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