Econometrica: Mar, 1979, Volume 47, Issue 2

Linear Models with Autocorrelated Errors: Structural Identifiability in the Absence of Minimality Assumptions

https://doi.org/0012-9682(197903)47:2<495:LMWAES>2.0.CO;2-W
p. 495-504

Jurgen Schrader, Manfred Deistler

The identifiability of linear dynamic models with autocorrelated errors is considered. Without a priori assuming relative left primeness of the structures, global identifiability conditions in the case of affine cross-equation restrictions and local identifiability conditions in the case of continuously differentiable cross-equation restrictions are derived.