The identification of multivariate linear dynamic errors-in-variables models

DOI10.1016/0304-4076(93)90023-XzbMath0786.62091OpenAlexW2083910415MaRDI QIDQ1314476

Eugen Nowak

Publication date: 26 April 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90023-x

zbMATH Keywords

expansionfactorizationnecessary and sufficient conditionsmeasurement errorserrors-in-variables modelscounting rulestransfer function modelslocal identifiability of multivariate linear time series modelspartial fractions of rational matricesunrestricted vector ARMA processes of fixed orders

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Related Items (5)

Some recent advances in measurement error models and methods ⋮ Identification of multivariable dynamic errors-in-variables system with arbitrary inputs ⋮ Frequency domain maximum likelihood estimation of linear dynamic errors-in-variables models ⋮ Identifiability of errors in variables dynamic systems ⋮ Errors-in-variables methods in system identification

Cites Work

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• Measurement Error in a Dynamic Simultaneous Equations Model with Stationary Disturbances
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS
• Identification of multivariable errors in variable models with dynamics
• Identifiability in Multivariate Dynamic Linear Errors-in-Variables Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Identification Problem for Multiple Equation Systems with Moving Average Errors

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