To Be or Not to Be of Maxentropic Type? An Appraisal of Parametric Spectral Analysis in Econometrics

26 Pages Posted: 18 Mar 2004

See all articles by Bernd Süssmuth

Bernd Süssmuth

University of Leipzig; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 2004

Abstract

The paradox that a parametric approach makes less assumptions than a nonparametric one can be seen as an obstacle for a wider use of frequency domain techniques in econometrics. This paper offers a throrough appraisal of the parametric model in the presence of notoriously short economic time series. Confronted with its nonparametric alternatives, pragmatic and theoretical aspects are addressed. Based on a duality framework, a proof of the theoretically desirable ME-property of the ML-estimated autoregressive model is provided. In the case of the true series following a fairly general stochastic process, it is numerically demonstrated that the parametric model in combination with a Bayesian order identification criterion offers the better representation of the true spectral density.

Keywords: Maximum entropy, parametric spectral analysis

JEL Classification: C20, C22

Suggested Citation

Süssmuth, Bernd, To Be or Not to Be of Maxentropic Type? An Appraisal of Parametric Spectral Analysis in Econometrics (March 2004). Available at SSRN: https://ssrn.com/abstract=517783 or http://dx.doi.org/10.2139/ssrn.517783

Bernd Süssmuth (Contact Author)

University of Leipzig ( email )

IEW Institute for Empirical Research in Economics
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Leipzig, D-04109
Germany
+49 341 97 33782 (Phone)
+49 341 97 33789 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/iew/professur-oekonometrie/team/prof-dr-bernd-suessmuth.html

CESifo (Center for Economic Studies and Ifo Institute)

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Munich, DE-81679
Germany

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