Autoregressive Errors in Singular Systems of Equations

Phoebus J. Dhrymes

Econometric Theory, 1994, vol. 10, issue 02, pages 254-285

Abstract: We consider a system of m general linear models, where the system error vector has a singular covariance matrix owing to various requirements and, in addition, the error vector obeys an autoregressive scheme. The paper reformulates the problem considered earlier by Berndt and Savin [8] (BS), as well as others before them; the solution, thus obtained, is far simpler, being the natural extension of a restricted least-squares-like procedure to a system of equations. This reformulation enables us to treat all parameters symmetrically, and discloses a set of conditions which is different from, and much less stringent than, that exhibited in the framework provided by BS.

Date: 1994
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