Overview
- Authors:
-
-
Agustin Maravall
-
Klaus Neumann
-
Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe, Karlsruhe, Germany
-
Ulrich Steinhardt
-
Bonn 3, Germany
Access this book
Other ways to access
Table of contents (8 chapters)
-
Front Matter
Pages I-VIII
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 1-27
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 28-44
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 45-68
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 69-95
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 96-108
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 109-128
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 129-144
-
- Agustin Maravall, Klaus Neumann, Ulrich Steinhardt
Pages 145-148
-
Back Matter
Pages 149-160
About this book
Looking at a very simple example of an error-in-variables model, I was surprised at the effect that standard dynamic features (in the form of autocorre 11 lation. in the variables) could have on the state of identification of the model. It became apparent that identification of error-in-variables models was less of a problem when some dynamic features were present, and that the cathegory of "pre determined variables" was meaningless, since lagged endogenous and truly exogenous variables had very different identification properties. Also, for'the models I was considering, both necessary and sufficient conditions for identification could be expressed as simple counting rules, trivial to compute. These results seemed somewhat striking in the context of traditional econometrics literature, and p- vided the original motivation for this monograph. The monograph, therefore, atempts to analyze econometric identification of models when the variables are measured with error and when dynamic features are present. In trying to generalize the examples I was considering, although the final results had very simple expressions, the process of formally proving them became cumbersome and lengthy (in particular for the "sufficiency" part of the proofs). Possibly this was also due to a lack of more high-powered analytical tools and/or more elegant derivations, for which I feel an apology coul be appropiate. With some minor modifications, this monograph is a Ph. D. dissertation presented to the Department of Economics of the University of Wisconsin, Madison. Thanks are due to. Dennis J. Aigner and Arthur S.
Authors and Affiliations
-
Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe, Karlsruhe, Germany
Klaus Neumann
-
Bonn 3, Germany
Ulrich Steinhardt
