Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis

DOI10.1016/0304-4076(81)90003-8zbMath0488.62099OpenAlexW1571868465MaRDI QIDQ1166231

Kenneth J. Singleton, John F. Geweke

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90003-8

zbMATH Keywords

time seriesfinite Fourier transformlatent variable modelsfrequency domain approachpermanent income hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Non-regular estimation theory for piecewise continuous spectral densities ⋮ Structural econometric modeling and time series analysis

Cites Work

• Estimation of a model containing unobservable variables using grouped observations. An application to the permanent income hypothesis
• The use of factor analysis in the statistical analysis of multiple time series
• An Algorithm for the Machine Calculation of Complex Fourier Series
• Central limit theorems for time series regression
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