Significance of the characteristic roots of linearized econometric models
Carlo Bianchi,
Giorgio Calzolari,
Paolo Corsi and
Lorenzo Panattoni
MPRA Paper from University Library of Munich, Germany
Abstract:
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.
Keywords: Nonlinear econometric models; characteristic roots; eigenvalues; asymptotic standard errors (search for similar items in EconPapers)
JEL-codes: C3 C63 (search for similar items in EconPapers)
Date: 1980-06
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Citations:
Published in Paper presented at the Economics and Control Conference, Princeton University (1980): pp. 1-14
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24882
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