On autoregressive errors in singular systems of equations

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On autoregressive errors in singular systems of equations

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Haupt, Harry
Oberhofer, Walter

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Harry Haupt

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.

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Paper provided by University of Regensburg, Department of Economics in its series Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft with number 410.

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Date of creation: 28 Nov 2005
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Handle: RePEc:bay:rdwiwi:597

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Article
- Harry Haupt & Walter Oberhofer, 2005. "On autoregressive errors in singular systems of equations," Economics Bulletin, Economics Bulletin, vol. 3(54), pages 1-3. [Downloadable!]

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-12-09 (All new papers)
NEP-ECM-2005-12-09 (Econometrics)

References listed on IDEAS
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repec:cup:etheor:v:10:y:1994:i:2:p:254-85 is not listed on IDEAS
Harry Haupt & Walter Oberhofer, 2002. "Fully restricted linear regression: A pedagogical note," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-7. [Downloadable!]
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 937-57, Sept.-Nov. [Downloadable!] (restricted)
Dhrymes, Phoebus J., 1994. "Autoregressive Errors in Singular Systems of Equations," Econometric Theory, Cambridge University Press, vol. 10(02), pages 254-285, June. [Downloadable!]

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