AUTOCORRELATION SPECIFICATION IN SINGULAR EQUATION SYSTEMS - A FURTHER LOOK

Authors
HOLT MT
Citation
Mt. Holt, AUTOCORRELATION SPECIFICATION IN SINGULAR EQUATION SYSTEMS - A FURTHER LOOK, Economics letters, 58(2), 1998, pp. 135-141
Citations number
7
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
58
Issue
2
Year of publication
1998
Pages
135 - 141
Database
ISI
SICI code
0165-1765(1998)58:2<135:ASISES>2.0.ZU;2-K
Abstract
We explore parsimonious specifications for autocorrelation matrices in singular equation systems. In so doing, we present a new model that i s based on the factorization and rank reduction procedures for positiv e semidefinite matrices first advanced by Diewert and Wales (1988). (C ) 1998 Elsevier Science S.A.