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A note on the number of non-zero eigenvalues of a dynamic linear econometric model

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Abstract

According toWolters [1976], there are 7 non-zero eigenvalues for each of four alternatively estimated versions of an Econometric Model of the Federal Republic of Germany.

In a comment,Uebe [1977] asserts that the number of non-zero eigenvalues of each of these four versions is 11. However, we shall argue on theoretical grounds that there cannot be more than 10 non-zero eigenvalues. Stating the exact number is a delicate matter.

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References

  • Uebe, G.: Spectral Analysis of a medium Sized German Econometric Model. Empirical Economics2 (2), 1977, 59–65.

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  • Uebe, G., andJ. Fischer: Computation of the eigenvalues of large econometric models. Comput & Ops. Res.1, 1974, 313–339.

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  • Wolters, J.: Stochastic Properties of a Linear Econometric Model of the Federal Republic of Germany. Empirical Economics1 (3), 1976, 167–188.

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  • —: Reply. Empirical Economics2 (2), 1977, 67–68.

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Authors and Affiliations

  1. Econometric Institute, University of Groningen, P.O. Box 800, NL-9700, AV Groningen

    L. Schoonbeek

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  1. L. Schoonbeek
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Additional information

I am grateful to Dr. R.H. Ketellapper, and Dr. A.E. Steenge for valuable comments.

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Schoonbeek, L. A note on the number of non-zero eigenvalues of a dynamic linear econometric model. Empirical Economics 8, 119–123 (1983). https://doi.org/10.1007/BF01973195

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  • DOI: https://doi.org/10.1007/BF01973195

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