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      <record key="001" att1="001" value="LIB900215902" att2="LIB900215902">001   LIB900215902</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/ihsfo/fo71.pdf</field>
      <field key="079" subkey="z">deistler, manfred - et al., origin of cyclical fluctuations in econometric models (pdf)</field>
      <field key="100" subkey="">deistler, manfred</field>
      <field key="104" subkey="a">schleicher, stefan</field>
      <field key="331" subkey="">origin of cyclical fluctuations in econometric models</field>
      <field key="403" subkey="">1. ed.</field>
      <field key="410" subkey="">wien</field>
      <field key="412" subkey="">institut fuer hoehere studien</field>
      <field key="425" subkey="">1972, september</field>
      <field key="433" subkey="">18 pp.</field>
      <field key="451" subkey="">institut fuer hoehere studien; forschungsberichte; 71</field>
      <field key="544" subkey="">IHSFO 71</field>
      <field key="753" subkey="">abstract (introduction): this paper is a contribution to the analysis of stochastic dynamics of linear econometric models. two</field>
      <field key="top" subkey="i">cs concerning the cyclical components of the endogenous variables are considered: recent publications deal with the problem</field>
      <field key="of" subkey="n">eglecting the influence of the disturbance terms on endogenous variables in econometric models. their main point is to show</field>
      <field key="tha" subkey="t">additional cycles are often generated in econometric models by the autoregressive transformation of the error variables</field>
      <field key="whi" subkey="c">h are not taken into account in the procedure of forecasting. in this paper these investigations are extended and the</field>
      <field key="rel" subkey="a">tive magnitude of the neglected error influence with reference to the endogenous variables is demonstrated. as an example a</field>
      <field key="mod" subkey="i">fied klein i model for the u.s. economy with a sample period from 1921 to 1967 is used. the second question of interest</field>
      <field key="con" subkey="c">erns the business cycle component of the endogenous variables. another reason for its origin is the business cycle of the</field>
      <field key="exo" subkey="g">enous variables and their transformation by the econometric model, respectively. investigations can be made as to which</field>
      <field key="exo" subkey="g">enous variables generate business cycle components of extraordinary magnitude and whether they have a compensating effect on</field>
      <field key="eac" subkey="h">other. this question is of a special relevance from the point of view of economic policy because of the potential dampening</field>
      <field key="eff" subkey="e">ct by the instrumental variables. the mathematical instrument for this research is the theory of linear transformations of</field>
      <field key="sta" subkey="t">ionary processes in the frequency domain. we partition the auto spectrum of the stationary part of the endogenous variables</field>
      <field key="(wh" subkey="i">ch contains among others the business cycle) and analyse the components with respect to their originby the exogenous</field>
      <field key="var" subkey="i">ables and error terms, respectively. strictly speaking the theory of stationary processes can be applied only to the forecast</field>
      <field key="wit" subkey="h">the exogenous variables alone (i.e. without taking into consideration the correlation structure of the error process). it</field>
      <field key="sha" subkey="l">l be shown, however, that this forecast approaches relatively soon the forecast with the reduced form, usually applied in</field>
      <field key="eco" subkey="n">ometrics. as we do not deal here with the statistical aspect of the problem we assume the estimated parameters of the model</field>
      <field key="and" subkey="">of the exogenous process to be "true".;</field>
    </SEQUENTIAL>
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