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Significance of the characteristic roots of linearized econometric models

Listed author(s):
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo
  • Panattoni, Lorenzo

This paper shows how to compute asymptotic standard errors of the characteristic roots of a nonlinear econometric model. The system of simultaneous equations is linearized in the neighborhood of a given point, then characteristic roots and related standard errors are computed.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24882.

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Date of creation: Jun 1980
Publication status: Published in Paper presented at the Economics and Control Conference, Princeton University (1980): pp. 1-14
Handle: RePEc:pra:mprapa:24882
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  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "On the stability of the Klein-I model," Economics Letters, Elsevier, vol. 4(1), pages 33-35.
  2. Gustafson, Elizabeth F., 1978. "Testing unstable econometric models for stability : An empirical study," Journal of Econometrics, Elsevier, vol. 8(2), pages 193-201, October.
  3. Schmidt, Peter, 1974. "The Algebraic Equivalence of the Oberhofer-Kmenta and Theil-Boot Formulae for the Asymptotic Variance of a Characteristic Root of a Dynamic Econometric Model," Econometrica, Econometric Society, vol. 42(3), pages 591-592, May.
  4. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-224, August.
  5. Oberhofer, W & Kmenta, J, 1973. "Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model," Econometrica, Econometric Society, vol. 41(1), pages 171-177, January.
  6. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
  7. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-192, April.
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