Statistical Inference in Dynamic Economic Models

absolute maximum assume assumption asymptotic bias bilinear restrictions characteristic values complete computation conditional distribution confidence region convergence corresponding covariances Cowles Commission cumulative distribution function defined definition denote derived determined diagonal distribution function disturbances dummy restrictions economic elements endogenous equa equation system equivalent exists exogenous variables follows G₁ given Hence Hurwicz identification power identification problem independent initial value inversion iteration K₂ Koopmans least-squares estimates Lemma LEONID HURWICZ likelihood function linear matrix maximum-likelihood estimates Newton method nonsingular nonsingular matrix notation observations obtained parameter point parameter space predetermined variables prediction priori restrictions probability distribution properties random reduced form regard regression coefficients relations respect S₁ satisfy solution statistical stochastic strictions structural changes structural equations subset Theorem tions transformation unbiased vector y₁ zero ΧΧ