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z-Transform and identification of linear econometric models with autocorrelated errors

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Abstract

The paper consists of two main parts. In the first part we derive the solution of systems of linear stochastic difference equations by means of thez-transform. In the second part thisz-transform is used to treat the problem of identification of linear econometric systems (the term “econometric” is used to stress the special aspects of the identification problem dealt with in econometrics). It is shown, that under suitable restrictions observationally equivalent structures are related by unimodular matrices. Using this result, we state (rank-) conditions which ensure, that the unimodular matrices are constant, such that the classical econometric identification theorems can be applied. These conditions are given for stationary errors in the general case as well as in the MA, AR and ARMA case.

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Authors and Affiliations

  1. Institut für Ökonometrie und Operations Research, Universität Bonn, Adenauerallee 24-42, D-53, Bonn

    M. Deistler

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  1. M. Deistler
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Deistler, M. z-Transform and identification of linear econometric models with autocorrelated errors. Metrika 22, 13–25 (1975). https://doi.org/10.1007/BF01899710

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  • DOI: https://doi.org/10.1007/BF01899710

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