This paper characterizes identification in dynamic linear models. It shows that identification restrictions are linear in the structural parameters and are therefore easy to use. Using these restrictions, it analyzes the role of exogenous variables in helping to achieve identification

This paper characterizes identification in dynamic linear models. It shows that identification restrictions are linear in the structural parameters and are therefore easy to use. Using these restrictions, it analyzes the role of exogenous variables in helping to achieve identification

We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these valuations, depend upon disagreement and the...