Efficient Estimation of a Dynamic Error-Shock Model

Working Paper No. 157 This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are sta...

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Bibliographic Details
Published inNBER Working Paper Series p. 157
Main Authors Cheng, Hsiao, Robinson, P M
Format Paper
LanguageEnglish
Published Cambridge National Bureau of Economic Research, Inc 01.11.1976
Subjects
Economic models
Economic theory
Fourier transforms
Noise
Variables
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ISSN0898-2937
DOI10.3386/w0157

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Summary:Working Paper No. 157 This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are stated. An asymptotically efficient frequency-domain class of instrumental variables estimators is suggested. The procedure consists of two basic steps. The first step transforms the model in such a way that the observed exogenous variables are asymptotically orthogonal to the residual terms. The second step involves an iterative procedure like that of Robinson [13].
Bibliography:SourceType-Working Papers-1
ObjectType-Working Paper/Pre-Print-1
content type line 50
ISSN:0898-2937
DOI:10.3386/w0157