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The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model
A. S. Goldberger
A. L. Nagar
H. S. Odeh
Abstract
For a structural econometric model, we obtain formulas for the covariance matrix of the coefficients of the derived reduced-form system and for the covariance matrix of forecasts. A numerical illustration is provided.
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