Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo and Panattoni, Lorenzo (1980): Significance of the characteristic roots of linearized econometric models. Published in: Paper presented at the Economics and Control Conference, Princeton University (4. June 1980): pp. 114.

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Abstract
This paper shows how to compute asymptotic standard errors of the characteristic roots of a nonlinear econometric model. The system of simultaneous equations is linearized in the neighborhood of a given point, then characteristic roots and related standard errors are computed.
Item Type:  MPRA Paper 

Original Title:  Significance of the characteristic roots of linearized econometric models 
Language:  English 
Keywords:  Nonlinear econometric models; characteristic roots; eigenvalues; asymptotic standard errors 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables 
Item ID:  24882 
Depositing User:  Giorgio Calzolari 
Date Deposited:  25. Oct 2010 07:54 
Last Modified:  17. Feb 2013 17:01 
References:  Bianchi, C., G.Calzolari and P.Corsi, "On the Stability of the KleinI model", Economics Letters (1980), (forthcoming). Brundy, J. M., and D. W. Jorgenson (1971): "Efficient Estimation of Simultaneous Equations by Instrumental Variables", The Review of Economics and Statistics 53, 207224. Dhrymes, P.,J., "Mathematics for Econometrics", New York, SpringerVerlag, (1978). Goldberger, A. S., A. L. Nagar and H. S. Odeh (1961): "The Covariance Matrices of ReducedForm Coefficients and of Forecasts for a Structural Econometric Model", Econometrica 29, 556573. Gustafson, E.F., "Testing Unstable Econometric Models for Stability: an Empirical Study", Journal of Econometrics, 8 (1978), 193201. Klein, L.R., "Estimation of Interdependent Systems in Macroeconometrics", Econometrica, 37 (1969), 171192. Kloek,T. and L.B.M.Mennes, "Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables", Econometrica, 28 (1960), 4561. Neudecker, H. and C. van de Panne, "Note on the Asymptotic Standard Errors of Latent Roots of Econometric Equation Systems", Review of the International Statistical Institute, 34 (1966), 4347. Oberhofer, W. and J. Kmenta, "Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model", Econometrica, 41 (1973), 171177. Rao, C.R., Linear Statistical Inference and its Applications, New York: John Wiley, (1965). Sartori, F., "Caratteristiche e Struttura del Modello", in Un Modello Econometrico dell'Economia italiana; Caratteristiche e Impiego. Ispequaderni, Roma: 1 (1978), 936. Schmidt, P., "The Algebraic Equivalence of the OberhoferKmenta and TheilBoot Formulae for the Asymptotic Variance of a Characteristic Root of a Dynamic Econometric Model", Econometrica, 42 (1974), 591592. Theil, H. and J.C.G. Boot, "The Final Form of Econometric Equation Systems", Review of the International Statistical Institute, 30 (1962), 136152. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/24882 