Identification in Dynamic Shock-Error Models
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I: The Model and Methodology.- 1. Introduction.- 2. The Model.- 2.1 Equations and Assumptions.- 2.2 Some Notation and Terminology.- 2.3 Identification of the Model when no Errors are Present.- 3. The Parameters and the Admissible Parameter Space.- 4. Analysis of Identification.- 4.1 The Identification Problem.- 4.2 The Covariance Equations.- 4.3 Locally Isolated Solutions of the Covariance Equations.- 4.4 Summary.- 5. A Remark on Estimation.- 6. An Example: Dynamic vs. Contemporaneous Models.- II: White-Noise Shock White-Noise Exogenous Variables.- 1. The Case of One Exogenous Variable.- 1.1 One Lag per Variable.- 1.2 The Effect of Additional "a Priori" Information.- 1.3 Increasing the Number of Lags of the Variables.- 2. The General Case.- 3. Some Examples and Conclusions.- III: Autocorrelated Shock White-Noise Exogenous Variables. I..- 1. Moving Average Process.- 1.1 An Example.- 1.2 The General Case.- 1.3 Some Examples and Conclusions.- 2. Autorsgressive Process.- 2.1 The General Case.- 2.2 An Example.- 2.3 A Remark on the Identification of the Autoregressive Process for the Shock.- 2.4 Some Final Remarks.- IV: Autocorrelated Shock White-Noise Exogenous Variables. II..- 1. Autoregressive-Moving Average Process.- 1.1 The General Case.- 1.2 Some Remarks.- 1.3 Some Examples.- V: Autocorrelated Exogenous Variables White-Noise Shock.- 1. Some Examples.- 1.1 First Example.- 1.2 Second Example.- 2. Moving Average Processes.- 3. Autoregressive-Moving Average Processes.- 4. Some Final Remarks.- VI: Autocorrelated Shock Autocorrelated Exogenous Variables The General Model.- 1. Autocorrelated Shock and Autocorrelated Exogenous Variables.- 1.1 The General Case.- 1.2 Some Examples.- 2. The General Model.- 2.1 The General Result.- 2.2 An Example.- VII: Some Extensions of the General Model.- 1. Correlation Between Exogenous Variables.- 2. Non Stationarity.- 2.1 An Example.- 2.2 The General Case.- 3. A Priori Zero Restrictions in the Coefficients (Seasonal Models).- 4. Autocorrelated Errors of Measurement.- VIII: Summary.- 2. An Example.- References.