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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Power spectra; peak frequencies; asymptotic standard errors; maximum likelihood; Klein- I model
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General

References

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