Maximum Likelihood in the Frequency Domain : The Importance of Time-to-Plan ∗

  title={Maximum Likelihood in the Frequency Domain : The Importance of Time-to-Plan ∗},
  author={Lawrence J. Christiano and Robert J Vigfusson},
We illustrate the use of various frequency domain tools for estimating and testing dynamic, stochastic general equilibrium models. We show how to exploit the well known fact that the log, Gaussian density function has a linear decomposition in the frequency domain. We also propose a new resolution to the problem that the phase angle between two variables is not uniquely determined. These methods are applied to the analysis of business cycles. Our substantive findings confirm existing results in… CONTINUE READING
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