The dynamic factor model revisited: the identification problem remains

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The dynamic factor model revisited: the identification problem remains

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Terje Skjerpen (Statistics Norway)

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Terje Skjerpen

Abstract

The lack of identification of short run run effects in a system of regression equations consisting of a dynamic translog cost function and cost share equations derived from this cost function is shown.

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Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 369.

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Date of creation: Mar 2004
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Handle: RePEc:ssb:dispap:369

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
D21 - Microeconomics - - Production and Organizations - - - Firm Behavior

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-03-14 (All new papers)
NEP-ECM-2004-03-14 (Econometrics)
NEP-MIC-2004-03-14 (Microeconomics)

References listed on IDEAS
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Allen, Chris & Urga, Giovanni, 1999. "Interrelated Factor Demands from Dynamic Cost Functions: An Application to the Non-energy Business Sector of the UK Economy," Economica, London School of Economics and Political Science, vol. 66(263), pages 403-13, August. [Downloadable!] (restricted)
Urga, Giovanni & Walters, Chris, 2003. "Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand," Energy Economics, Elsevier, vol. 25(1), pages 1-21, January. [Downloadable!] (restricted)
Urga, Giovanni, 1999. "An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand," Economic Modelling, Elsevier, vol. 16(4), pages 503-513, December. [Downloadable!] (restricted)
Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-71, November. [Downloadable!] (restricted)
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)

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