Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models

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Abstract

The effect of structural estimation errors on the analysis of the stochastic response of a dynamic econometric model is discussed. A numerical example is provided using Klein's model I, estimated by full-information maximum likelihood.

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    The research underlying this paper was partially carried out by the author at the University of Bonn, Institut für Gesellschafts- and Wirtschaftswissenschaften (Discussion paper no. 101), supported by a grant from the German Research Foundation (DFG-SFB 21). For suggestions and comments the author is grateful to Professor Wilhelm Krelle, Eugene M. Cleur, Claus Weihs and the anonymous referees, but retains sole responsibility for any errors.

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