Econometrica Vol. 40 No. 1 1972
More Stochastic Properties of the Klein-Goldberger Model
Abstract
The central idea of the business cycle is of a pervasive cyclical movement of economic indicators. This paper shows that the concept of such simultaneous movements can be given a precise meaning by performing a principal component analysis of spectral density matrices or, with a different shade of meaning, coherence matrices. It suggests also a new method of computing spectral approximations for models that are nonlinear in their variables. The methods are applied to the Klein-Goldberger model for the United States.
- DOI
- 10.2307/1909723
- Volume
- 40
- Issue
- 1
- Pages
- 87
- Sources
- bibtex:phds-export.bib crossref openalex