On autoregressive errors in singular systems of equations

URN to cite this document:: urn:nbn:de:bvb:355-opus-5977
DOI to cite this document:: 10.5283/epub.4524

Haupt, Harry ; Oberhofer, Walter

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Date of publication of this fulltext: 28 Nov 2005 13:47

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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 ...