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The dynamic factor model revisited: the identification problem remains

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 Statistics Norway, Research Department 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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  1. 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.
  2. Urga, Giovanni, 1996. "On the identification problem in testing the dynamic specification of factor-demand equations," Economics Letters, Elsevier, vol. 52(3), pages 205-210, September.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
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