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The dynamic factor model revisited: the identification problem remains

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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.

Suggested Citation

  • Terje Skjerpen, 2004. "The dynamic factor model revisited: the identification problem remains," Discussion Papers 369, Statistics Norway, Research Department.
    • Handle: RePEc:ssb:dispap:369
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-1571, November.
    4. 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.
    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 403-413, August.
    6. 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 937-957, Sept.-Nov.
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    More about this item

    Keywords

    Dynamic cost function;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory

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