Article thumbnail

The asymptotic distribution of power spectra in dynamic econometric models

By Giorgio Calzolari


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.Power spectra; peak frequencies; asymptotic standard errors; maximum likelihood; Klein- I model

OAI identifier:

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

Suggested articles