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.

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Year of publication:	1979
Authors:	Calzolari, Giorgio
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Power spectra \| peak frequencies \| asymptotic standard errors \| maximum likelihood \| Klein- I model

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C50 - Econometric Modeling. General ; C63 - Computational Techniques ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008490559