Abstract
The covariance matrices (1.18) contain all information about the time paths and the lead-lag relationships of the endogenous variables. But, as is well known (see e.g. König and Wolters (1972a, p.56)), these figures are, in general, difficult to interpret. Moreover, the variances and covariances do not give direct measures of the intensity and of the connection of different cycles respectively.
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© 1980 Springer-Verlag Berlin Heidelberg
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Wolters, J. (1980). Spectral Representation of the Linear Dynamic Model with Constant Coefficients. In: Stochastic Dynamic Properties of Linear Econometric Models. Lecture Notes in Economics and Mathematical Systems, vol 182. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-95379-8_2
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DOI: https://doi.org/10.1007/978-3-642-95379-8_2
Publisher Name: Springer, Berlin, Heidelberg
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