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The NonUniqueness Problem
Reduction of SingleEquation Models
Reduction of Multiple Equations Models
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admissible value arbitrary martingale differences ARMA solutions autoregressive auxiliary parameters BROZE bubbles Cagan model Card Kg characteristic equation coefficients components conditional expectations consider constraints denotes E[ut E[ut+i E[xt E[yt I It-i econometric economic eigenvalues endogenous Eo[yt error term exogenous process exogenous variables first-order identifiable first-order strongly identifiable form of Model G-dimensional Gourieroux i e Ig I I akh identifiable by means information set instrumental variable estimator invertible invertible matrix It.i j e Jg k e Kg Kg n Lg linear stationary solutions linearly independent matrix polynomial moving-average multicollinearity multivariate nilpotent matrix non-uniqueness obtain Ordinary Least Squares particular solution prediction error Property rational expectations models recursive equation reduced form revision processes stationary process stochastic process strongly consistent structural equation structural form structural parameters SZAFARZ Theorem unique solution unit circle vector white noise xt-i yt-i yt+i zero-restrictions
Rational Bubbles: Theoretical Basis, Economic Relevance, and Empirical ...
Limited preview - 1997
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