Identification of linear stochastic models with covariance restrictions

Identification of linear stochastic models with covariance restrictions

The purpose of this paper is to provide a systematic treatment of the problem of identification in systems of linear structural equations where some of the disturbances are uncorrelated.

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Veröffentlicht in:Journal of econometrics 1986-03, Vol.31 (2), p.179-208
Hauptverfasser: Bekker, Paul A., Pollock, D.S.G.
Format: Artikel
Sprache:eng
Schlagworte:
Applications
Econometrics
Exact sciences and technology
Mathematical analysis
Mathematics
Matrix
Probability and statistics
Restrictions
Sciences and techniques of general use
Statistics
Stochastic models
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Beschreibung
Zusammenfassung:The purpose of this paper is to provide a systematic treatment of the problem of identification in systems of linear structural equations where some of the disturbances are uncorrelated.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(86)90047-3