Significance of the characteristic roots of linearized econometric models
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.
|Date of creation:||Jun 1980|
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- 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 207-24, August.
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- 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.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "On the stability of the Klein-I model," Economics Letters, Elsevier, vol. 4(1), pages 33-35.
- 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 591-92, May.
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