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…