Identification and Estimation of the Error-in-Variables Model (EVM) in Structural Form

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/497 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/497 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/497 archive 351 disk0/00/00/04/78 2016-01-15 01:42:53 2021-08-27 17:08:11 2016-01-15 01:42:53 monograph show 3 Mehra R.K. AL0259 Identification and Estimation of the Error-in-Variables Model (EVM) in Structural Form pub iis_mod iis_met prog_sds It is shown that the EVM in structural form is identifiable if serial correlation is present in the independent variables. Least Squares, Instrumental Variable and Maximum Likelihood techniques for the identification and estimation of serial correlations and other EVM parameters are given. The techniques used are based on State Vector Models, Kalman Filtering and Innovation representations. Generalizations to EVM involving multiple regressions and randomly time-varying coefficients are also discussed. 1975-07 published RM-75-038 RM-75-038 10 2182 public research_memorandum IIASA, Laxenburg, Austria 32 FALSE info:eu-repo/semantics/book