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The asymptotic distribution of power spectra in dynamic econometric models

By Giorgio Calzolari

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

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