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Dynamic Econometrics$
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David F. Hendry

Print publication date: 1995

Print ISBN-13: 9780198283164

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198283164.001.0001

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Simultaneous Equations Systems

Simultaneous Equations Systems

Chapter:
(p.405) 11 Simultaneous Equations Systems
Source:
Dynamic Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198283164.003.0011

Linear system modelling is structured in 10 stages from the general to the specific. The dynamic statistical system is the maintained model, defined by the variables of interest, their distributions, whether they are modelled or non‐modelled, and their lag polynomials. An econometric model is a (possibly) simultaneous‐equations entity, which is intended to isolate autonomous, parsimonious relationships based on economic theory. That model must adequately characterize the data evidence and account for the results in the congruent statistical system. Model formulation, identification, estimation (using an estimator generating equation), encompassing, and evaluation are considered.

Keywords:   encompassing, identification, linear system modelling, model evaluation, simultaneous equations

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