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On autoregressive errors in singular systems of equations

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  • Haupt, Harry
  • Oberhofer, Walter

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. Die Identifikations- und Schätzprobleme, die bei singulären System von Regressionsbeziehungen mit autoregressiven Fehlern auftreten, analysiert Dhrymes (1994, Econometric Theory, 10, 254-285) durch eine Erweiterung der restringierten Kleinst-Quadrate-Schätzung. Sein zentrales Theorem zur Identifikation derartiger Systeme gilt jedoch nicht im Allgemeinen.

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Paper provided by University of Regensburg, Department of Economics in its series University of Regensburg Working Papers in Business, Economics and Management Information Systems with number 410.

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

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Keywords: Verallgemeinertes Regressionsmodell; Singuläre Systeme ; Identifikation; singular equation systems ; identification;

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  1. Harry Haupt & Walter Oberhofer, 2002. "Fully restricted linear regression: A pedagogical note," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-7.
  2. repec:ebl:ecbull:v:3:y:2002:i:1:p:1-7 is not listed on IDEAS
  3. Dhrymes, Phoebus J., 1994. "Autoregressive Errors in Singular Systems of Equations," Econometric Theory, Cambridge University Press, vol. 10(02), pages 254-285, June.
  4. 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.
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