Structural Moving Average

Definition: The structural moving average model is a multivariate, discrete time, dynamic econometric model. Let y_t be an n_y x 1 vector of observable economic variables, C(L) is a n_y x n_e matrix of lag polynomials, and e_t be a vector of exogenous unobservable shocks, e.g. to labor supply, the quantity of money, and labor productivity. Then:

y_t=C(L)e_t

is a structural moving average model.

(Econterms)

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