Scandinavian Working Papers in Economics

Discussion Papers,
Statistics Norway, Research Department

No 369: The dynamic factor model revisited: the identification problem remains

Terje Skjerpen
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Terje Skjerpen: Statistics Norway

Abstract: The lack of identification of short run run effects in a system of regression equations consisting of a dynamic translog cost function and cost share equations derived from this cost function is shown.

Keywords: Dynamic cost function

JEL-codes: C32; D21 March 2004

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