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
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.
