Identification of the dynamic shock-error model with autocorrelated errors

DOI10.1016/0304-4076(93)90077-IzbMath0556.62090OpenAlexW2073447535MaRDI QIDQ760998

Eugen Nowak

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90077-i

zbMATH Keywords

Fourier transformsidentifiabilityautocorrelated errorsARMA processes with continuous spectral densitydynamic shock-error models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Global identification of the dynamic shock-error model ⋮ The identification of multivariate linear dynamic errors-in-variables models

Cites Work

• Identification in dynamic shock-error models
• Unnamed Item
• Unnamed Item

This page was built for publication: Identification of the dynamic shock-error model with autocorrelated errors