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On autoregressive errors in singular systems of equations

Author

Listed:
  • Harry Haupt

    (Department of Econometrics, University of Regensburg)

  • Walter Oberhofer

    (Department of Econometrics, University of Regensburg)

Abstract

Dhrymes (1994, Econometric Theory, 10, 254-285) demonstrates the arising identification and estimation problems in singular equation systems when the error vector obeys an autoregressive scheme, as an extension of restricted least squares. Unfortunately, his main theorem concerning the identification of such systems, does not hold in general, though.

Suggested Citation

  • Harry Haupt & Walter Oberhofer, 2005. "On autoregressive errors in singular systems of equations," Economics Bulletin, AccessEcon, vol. 3(54), pages 1-3.
    • Handle: RePEc:ebl:ecbull:eb-05c30051
    as

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    References listed on IDEAS

    as
    1. Berndt, Ernst R & Savin, N Eugene, 1975. "Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances," Econometrica, Econometric Society, vol. 43(5-6), pages 937-957, Sept.-Nov.
    2. Harry Haupt & Walter Oberhofer, 2002. "Fully restricted linear regression: A pedagogical note," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-7.
    3. repec:ebl:ecbull:v:3:y:2002:i:1:p:1-7 is not listed on IDEAS
    4. Dhrymes, Phoebus J., 1994. "Autoregressive Errors in Singular Systems of Equations," Econometric Theory, Cambridge University Press, vol. 10(2), pages 254-285, June.
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    More about this item

    Keywords

    identification;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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