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Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model

where y(t) represents the vector of endogenous variables, x(t) the vector of exogenous variables, u(t) the vector of stochastic disturbances, and t the tth period of observation. The matrices A, (T = 0, 1, . . . , m) of the structural coefficients are square matrices of order G. It is assumed that the conditions justifying the theorems in [3, Ch. 10] are satisfied, and that there are no nonlinear restrictions on the elements of A.. The stability of the system is determined…

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On the Difference Between Conditional and Unconditional Asymptotic Distributions of Estimates in Distributed Lag Models with Integer-Valued Parameters

Peter Schmidt, On the Difference Between Conditional and Unconditional Asymptotic Distributions of Estimates in Distributed Lag Models with Integer-Valued Parameters, Econometrica, Vol. 41, No. 1 (Jan., 1973), pp. 165-169

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Proportionate Variances and the Identification Problem

方差比例与识别问题

1. TO BE CLEAR from the beginning, this note does not provide practical aids to identification; the information is very unlikely to be available. Rather, this paper serves an expository purpose, that of seeking to clarify two ideas: first, multiple-identification, by presenting and analyzing an example within a linear system, and second, Working's and Fisher's ideas on relative variances as identification aids, by showing the consequences of knowing that one variance is a…

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Constraints Often Overlooked in Analyses of Simultaneous Equation Models

联立方程模型分析中常被忽略的约束

USUAL SPECIFYING ASSUMPTIONS for simultaneous equation econometric models imply strong inequality constraints on structural parameters which are formally similar to those encountered in connection with the classical errors-in-the-variables model.2 To illustrate, consider the following simple simultaneous equation model for two endogenous variables, Y,, and Y2t, say price and quantity, respectively:

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Binary Choice of Urban Transport Mode in the San Francisco Bay Region

旧金山湾区城市交通方式的二元选择

This empirical study presents an analysis of mode choice for selected urban trips in the San Francisco Bay area. The economic model is a restricted consumer choice model, where the mutually exclusive collectively exhaustive choice is between auto driver and transit passenger. The main testable hypothesis is that, in the absence of knowledge about the value a traveler attaches to his time, if a choice exists and if a mode is cheaper than the alternative in terms of both time…

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