Identification of the dynamic shock-error model with autocorrelated errors

DOI10.1016/0304-4076(93)90077-IzbMATH Open0556.62090OpenAlexW2073447535MaRDI QIDQ760998FDOQ760998

Authors: Eugen Nowak 

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90077-i

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zbMATH Keywords

identifiabilityautocorrelated errorsFourier transformsARMA processes with continuous spectral densitydynamic shock-error models

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Identification in dynamic shock-error models
• Title not available (Why is that?)

Cited In (2)

• The identification of multivariate linear dynamic errors-in-variables models
• Global identification of the dynamic shock-error model

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