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Automatic identification of simultaneous equations models

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Author Info
Omtzigt Pieter () (Faculty of Economics and Econometrics, WB Amsterdam)

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Abstract

This paper provides an operational procedure for putting indentifying restrictions on a simultaneous equations models. The algorithm works on the restrictions,not on the parameters, such that the identifying restrictions can be imposed before estimation.

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File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2002_1.pdf
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Publisher Info
Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0201.

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Length: 13 pages
Date of creation: Jan 2002
Date of revision:
Handle: RePEc:ins:quaeco:qf0201

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Related research
Keywords: Simultaneous equations; identification; restriction; cointegration;

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  1. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria. [Downloadable!]
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This page was last updated on 2009-11-27.

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