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Automatic identification of simultaneous equations models

Author

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  • Omtzigt Pieter

    (Faculty of Economics and Econometrics, WB Amsterdam)

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.

Suggested Citation

  • Omtzigt Pieter, 2002. "Automatic identification of simultaneous equations models," Economics and Quantitative Methods qf0201, Department of Economics, University of Insubria.
    • Handle: RePEc:ins:quaeco:qf0201
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    File URL: https://www.eco.uninsubria.it/RePEc/pdf/QF2002_1.pdf
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    Cited by:

    1. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.

    More about this item

    Keywords

    Simultaneous equations; identification; restriction; cointegration;
    All these keywords.

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