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On autoregressive errors in singular systems of equations

Harry Haupt and Walter Oberhofer

No 410, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: Dhrymes (1994, Econometric Theory, 10, 254-285) demonstrates the arising identification and estimation problems in singular equation systems when the error vector obeys an autoregressive scheme, as an extension of restricted least squares. Unfortunately, his main theorem concerning the identification of such systems, does not hold in general, though. Die Identifikations- und Schätzprobleme, die bei singulären System von Regressionsbeziehungen mit autoregressiven Fehlern auftreten, analysiert Dhrymes (1994, Econometric Theory, 10, 254-285) durch eine Erweiterung der restringierten Kleinst-Quadrate-Schätzung. Sein zentrales Theorem zur Identifikation derartiger Systeme gilt jedoch nicht im Allgemeinen.

Keywords: Verallgemeinertes Regressionsmodell; Singuläre Systeme; Identifikation; singular equation systems; identification (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2005
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