Identification of the Dynamic Shock-Error Model: The Case of Dynamic Regression.

by A. Maravall, Dennis J. Aigner

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This paper gives an exposition on identification of parameters in the single-equation dynamic regression model with measurement errors. Beginning with a textbook example of a bivariate regression relationship with measurement errors, it is shown how the lack of identification in that model disappears when the exogenous variable is the lagged endogenous variable. A dynamic regression model is then articulated and identification results are presented. Several examples are outlined. Extension of results to more complicated cases and an outline proof of the main identification theorem are presented. 28 pp. Ref.

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