The identification of multivariate linear dynamic errors-in-variables models

@article{Nowak1993TheIO,
  title={The identification of multivariate linear dynamic errors-in-variables models},
  author={E. Nowak},
  journal={Journal of Econometrics},
  year={1993},
  volume={59},
  pages={213-227}
}
  • E. Nowak
  • Published 1993
  • Mathematics
  • Journal of Econometrics
Abstract The paper establishes (necessary and sufficient) conditions for the local identifiability of multivariate linear time series models with measurement errors. The models have a linear relation with rational transfer (matrix) function and variables specified by unrestricted vector ARMA processes of fixed orders (or more general variables). The identifiability conditions (finally) are simple counting rules combining the order parameters of a model. The paper derives the results… Expand
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