Titlebook: Identification in Dynamic Shock-Error Models; Agustin Maravall,Klaus Neumann,Ulrich Steinhardt Book 1979 Springer-Verlag Berlin Heidelberg

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White-Noise Shock; White-Noise Exogenous Variables,. In particular, the shock and the exogenous variables are assumed to be mutually independent white-noise variables. To illustrate the nature of the identification problem, Section 1 analyzes several models with one exogenous variable. In Section 2 the general model (Model I) is presented, and the n