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

Format:

Book

Author/Creator:

Wall, Kent D.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0119.

NBER working paper series no. w0119

Language:

English

Subjects (All):

Econometric models.

Econometrics Mathematical models.

Econometrics.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1976.

Cambridge, Mass. : National Bureau of Economic Research, 1976.

Summary:

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 up�, 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.

Notes:

Print version record

1976.