In: Lecture Notes in Economics and Mathematical Systems, Econometrics 182
In: Lecture Notes in Economics and Mathematical Systems 182
I: The Linear Dynamic Econometric Model -- 1. Introduction -- 2. Structural, Reduced and Final Form -- 3. Solutions of the Model -- II: Spectral Representation of the Linear Dynamic Model with Constant Coefficients -- 1. Derivation of the Spectral Matrix -- 2. Numerical Approaches -- 3. An Example: Effects of Residuals -- 4. Spectral Matrix in Unstable Models -- III: Spectral Representation of a Linear Dynamic Econometric Model with Stochastic Coefficients -- 1. Methodological Approach -- 2. Effects of Alternative Estimation Methods on the Dynamic Properties of an Aggregated Demand Model of the FRG -- 3. Empirical Spectral Analysis -- IV: Effects of Exogenous Variables on the Cyclic Properties of an Econometric Model -- 1. Introduction -- 2. Dynamic Properties of an Aggregated Model of the FRG -- 3. Stabilization Policies -- V: Summary -- Appendix A -- Appendix B -- References.
In: Lecture notes in economics and mathematical systems 182
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