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Stochastic Properties of the Klein-Goldberger Model

Econometrica 1971 39(1), 73
[Once the coefficients of an econometric model have been estimated, the dynamic properties of the resulting system of equations are frequently of interest. In this paper Fourier methods are used to obtain the spectrum matrix of the endogenous variables of the Klein-Goldberger model. The power spectra and coherence and phase relationships implied by the model are derived for selected endogenous variables and are compared with previous results.]