000			02488cam a22003137 4500
001			w0085
003			NBER
005			20211020115541.0
006			m o d
007			cr cnu||||||||
008			210910s1975 mau fo 000 0 eng d
100	1		_aCooley, Thomas F. _98374
245	1	0	_aOn the Identification of Time Varying Structures / _cThomas F. Cooley, Kent D. Wall.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c1975.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w0085
500			_aMay 1975.
520	3		_aThe identifiability of reduced form econometric models with variable coefficients is investigated using the control theoretic concepts of uniform complete observability and uniform complete controllability. First, a variant of the state space representation of the traditional reduced form is introduced which transcribes the underlying non-stationary estimation problem into one particularly suited to a Kalman filtering solution. Using such a formulation, observability and controllability can be called upon to obtain a necessary and sufficient condition for identification of the specific parameterization. The results so obtained are completely analogous to those already established in the econometric literature, namely, that the parameters of the reduced form are always identified subject to the absence of multicollinearity(referred to as "persistent excitation" in the control literature). How-ever, now the multicollinearity condition is seen to depend on the structure of the parameter variations as well as the statistical nature of the explanatory variables. The verification of identifiability thus reduces to a check for uniform complete observability which can always be affected in econometric applications. Some consistency results are also presented which derive from the above approach.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
700	1		_aWall, Kent D.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w0085.
856	4	0	_uhttps://www.nber.org/papers/w0085
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w0085
942			_2ddc _cW-PAPER
999			_c348518 _d307080