The Causal Interpretation of Non-Triangular Systems of Economic Relations

In this paper is presented a simultaneous equation model that is non-triangular, its disturbances having a non-diagonal covariance matrix, and yet is causal and recursive, and whose underlying structural relations are also causal. The model is put forth as a counter-example to the Wold-Strotz claim...

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Veröffentlicht in:Econometrica 1963-07, Vol.31 (3), p.439-448
1. Verfasser: Basmann, R. L.
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper is presented a simultaneous equation model that is non-triangular, its disturbances having a non-diagonal covariance matrix, and yet is causal and recursive, and whose underlying structural relations are also causal. The model is put forth as a counter-example to the Wold-Strotz claim that only triangular systems can be recursive and causal.
ISSN:0012-9682
1468-0262
DOI:10.2307/1909983