Identification of linear stochastic models with covariance restrictions

DOI10.1016/0304-4076(86)90047-3zbMath0594.62115OpenAlexW1963698118MaRDI QIDQ1077122

Paul A. Bekker, D. Stephen G. Pollock

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/portal/en/publications/identification-of-linear-stochastic-models-with-covariance-restrictions(3115d62d-f612-42b4-b0d2-e15b62094310).html

zbMATH Keywords

identificationcovariance restrictionsrecursively decomposable restrictionssystems of linear structural equationsuncorrelated disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Bayesian stochastic search for VAR model restrictions ⋮ Identification of simultaneous equation models with measurement error: a computerized evaluation ⋮ Bayesian testing of restrictions on vector autoregressive models ⋮ Equivalent models in covariance structure analysis ⋮ A Gibbs sampler for structural vector autoregressions ⋮ Identification in restricted factor models and the evaluation of rank conditions ⋮ Identification theory for high dimensional static and dynamic factor models ⋮ A note on the identification of restricted factor loading matrices ⋮ On the identification of restricted factor loading matrices: An alternative condition

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