For a structural econometric model, we obtain formulas for the covariance matrix of the coefficients of the derived reduced-form system and for the covariance matrix of forecasts. A numerical illustration is provided.
MLA
Nagar, A. L., et al. “The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model.” Econometrica, vol. 29, .no 4, Econometric Society, 1961, pp. 556-573, https://www.jstor.org/stable/1911804
Chicago
Nagar, A. L., A. S. Goldberger, and H. S. Odeh. “The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model.” Econometrica, 29, .no 4, (Econometric Society: 1961), 556-573. https://www.jstor.org/stable/1911804
APA
Nagar, A. L., Goldberger, A. S., & Odeh, H. S. (1961). The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model. Econometrica, 29(4), 556-573. https://www.jstor.org/stable/1911804
The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica. Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device. Cookies are used to optimize your experience and anonymously analyze website performance and traffic.
