Global identification of the dynamic shock-error model

DOI10.1016/0304-4076(85)90088-0zbMath0556.62089OpenAlexW1979300460MaRDI QIDQ760997

Eugen Nowak

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90088-0

zbMATH Keywords

counting rulesglobal identifiability of dynamic regression models with errors in the variables

Mathematics Subject Classification ID

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

Related Items (7)

Identification of simultaneous equation models with measurement errors based on time series structure ⋮ Asymptotic properties of estimators for autoregressive models with errors in variables ⋮ LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES ⋮ Dynamic deconvolution and identification of independent autoregressive sources ⋮ Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables ⋮ Errors-in-variables methods in system identification ⋮ The identification of multivariate linear dynamic errors-in-variables models

Cites Work

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• Identification of the dynamic shock-error model with autocorrelated errors
• Identification in dynamic shock-error models
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS

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