Interequation Constraint and the Specification of Dynamic Structure / Kent D. Wall.

By:

Wall, Kent D

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0119.Publication details: Cambridge, Mass. National Bureau of Economic Research 1976.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: This note considers the effect of a class of linear inter-equation constraints in the specification of the lag structure in econometric models. In particular, attention is focused on the linear summing, or "adding upâ€?, constraints which arise between equations in factor shares analysis. The consequences of such constraints on the specification of lag structures for models with dynamic adjustments and autoregressive or moving-average disturbances are presented in the form of linear restrictions which result in singular coefficient matrices . Thus, the structural (lag) specification of one equation depends on the structure of all other equations in the model.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0119 (Browse shelf(Opens below))	Not For Loan

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1976.

This note considers the effect of a class of linear inter-equation constraints in the specification of the lag structure in econometric models. In particular, attention is focused on the linear summing, or "adding upâ€?, constraints which arise between equations in factor shares analysis. The consequences of such constraints on the specification of lag structures for models with dynamic adjustments and autoregressive or moving-average disturbances are presented in the form of linear restrictions which result in singular coefficient matrices . Thus, the structural (lag) specification of one equation depends on the structure of all other equations in the model.