The Equilibrium Covariance Matrix of Dynamic Econometric Models
- 1 March 1969
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 64 (325) , 277
- https://doi.org/10.2307/2283735
Abstract
This paper presents a convenient form for the asymptotic, or equilibrium, covariance matrix of the endogenous variable vector of a dynamic econometric model.Keywords
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