Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Econometrica> Issues> Supplemental Materials>Linear Models with Autocorrelated Errors: Structural Identifiability in the Absence of Minimality Assumptions

Econometrica: Mar, 1979, Volume 47, Issue 2

Linear Models with Autocorrelated Errors: Structural Identifiability in the Absence of Minimality Assumptions

https://www.jstor.org/stable/1914195
p. 495-504

Jurgen Schrader, Manfred Deistler

The identifiability of linear dynamic models with autocorrelated errors is considered. Without a priori assuming relative left primeness of the structures, global identifiability conditions in the case of affine cross-equation restrictions and local identifiability conditions in the case of continuously differentiable cross-equation restrictions are derived.

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