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The asymptotic distribution of power spectra in dynamic econometric models

  • Calzolari, Giorgio

Starting 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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File URL: https://mpra.ub.uni-muenchen.de/24460/1/MPRA_paper_24460.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24460.

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Date of creation: 1979
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Handle: RePEc:pra:mprapa:24460
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  1. 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.
  2. 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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