The Identification Problem for Multiple Equation Systems with Moving Average Errors

E. J. Hannan

184 citations0/0 files storedEconometrica

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Monetary Policy and Economic Impact Control Systems and Identification Statistical and numerical algorithms

Abstract

where y(t) and x(t) are vectors of G components, z(t) has K components, B is a G x G matrix, and F is a G x K matrix.' The components of z(t) are predetermined at time t and the vector x(t) is not serially correlated, so that (among other requirements) we have

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2008The New Palgrave Dictionary of Economics Online 2011Dynamic Identification of Dynamic Stochastic General Equilibrium Models 1979Statistical Analysis of Econometric Models 1979Causality tests in econometrics 1985Uncovering Financial Market Expectations of Inflation 1984Chapter 23 Latent variable models in econometrics 2010Modeling data revisions: Measurement error and dynamics of “true” values 1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering

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