The asymptotic distribution of power spectra in dynamic econometric models
AbstractStarting from a consistent and asymptotically normally distributed structural estimate of a dynamic econometric model, this paper provides an analytical derivation of the asymptotic distribution of spectra and cross spectra of the jointly dependent variables. A numerical example is provided on the Klein-I model estimated by Full Information Maximum Likelihood.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24460.
Date of creation: 1979
Date of revision:
Power spectra; peak frequencies; asymptotic standard errors; maximum likelihood; Klein- I model;
Find related papers by JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-06, March.
- Howrey, E Philip & Klein, Lawrence R, 1972. "Dynamic Properties of Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 599-618, October.
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