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Measurement errors in dynamic models. (English) Zbl 1291.62130
A linear system of dynamic equations is considered. Both input and output data are contaminated by white noise. A model for the contaminated data has richer dynamics than the model for the correctly observed data. Order and rank conditions are given for limited information identification of parameters in the dynamic model. Implications are studied for single-equation, vector autoregressive, and panel data, in which measurement errors are often inevitable.

MSC:
62J05 Linear regression; mixed models
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84 Economic time series analysis
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