Determining the final form of a linear dynamic econometric model

Piet De Jong*

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This paper outlines a method for determining the final form and associated quantities of a linear or linearized dynamic econometric model. The method is based on the Cauchy integral formula which is approximated by a Riemann sum and evaluated with the fast Fourier transform algorithm. The approach is seen to fit naturally into both the time and frequency domain methods of analyzing dynamic econometric models. An empirical application illustrates the use of the technique.

Original languageEnglish
Pages (from-to)181-192
Number of pages12
JournalJournal of Econometrics
Volume8
Issue number2
DOIs
Publication statusPublished - 1978
Externally publishedYes

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