Munich Personal RePEc Archive

The asymptotic distribution of power spectra in dynamic econometric models

Calzolari, Giorgio (1979): The asymptotic distribution of power spectra in dynamic econometric models. Published in: Institut fuer Gesellschafts- u. Wirtschaftswissenschaften der Universitaet Bonn No. 101 (August 1979): pp. 1-21.

[img]
Preview
PDF
MPRA_paper_24460.pdf

Download (310Kb) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.