Measurement Error in a Dynamic Simultaneous Equations Model with Stationary Disturbances

DOI10.2307/1914194zbMath0413.62079OpenAlexW2028586638MaRDI QIDQ3048120

Cheng Hsiao

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1914194

zbMATH Keywords

identificationestimationtime seriesspectral analysisfrequency domain approacheconomic systemstationary disturbancesrandom measurement errorsdynamic simultaneous equations modelfactorization of spectratrivial transformation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Related Items (5)

MEASUREMENT ERRORS AND CENSORED STRUCTURAL LATENT VARIABLES MODELS ⋮ Identification of simultaneous equation models with measurement errors based on time series structure ⋮ Consistent estimation for some nonlinear errors-in-variables models ⋮ MEASUREMENT ERRORS IN DYNAMIC MODELS ⋮ The identification of multivariate linear dynamic errors-in-variables models

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