Significance of the characteristic roots of linearized econometric models
Carlo Bianchi (),
Paolo Corsi and
MPRA Paper from University Library of Munich, Germany
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: C63 C3 (search for similar items in EconPapers)
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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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