Identification of the dynamic shock-error model with autocorrelated errors |
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Authors: | Eugen Nowak |
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Institution: | University of Munich, 8000 Munich 22, West Germany |
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Abstract: | The paper gives (necessary and sufficient) conditions for the local identifiability of dynamic regression models with autocorrelated errors in the variables. The conditions are simple counting rules combining the order parameters of a model and directly generalize the results of Maravall and Aigner. A new method of identification is presented allowing a compact derivation of the results. |
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