The asymptotic distribution of power spectra in dynamic econometric models
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.
|Date of creation:||1979|
|Date of revision:|
|Publication status:||Published in Institut fuer Gesellschafts- u. Wirtschaftswissenschaften der Universitaet Bonn 101 (1979): pp. 1-21|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
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