### Abstract

Let {X(t)} be a multivariate Gaussian stationary process with the spectral density matrix f_{0}(ω), where θ is an unknown parameter vector. Using a quasi-maximum likelihood estimator [formula omitted] of θ, we estimate the spectral density matrix f_{0}(ω) by f [formula omitted] (ω). Then we derive asymptotic expansions of the distributions of functions of f [formula omitted] (ω). Also asymptotic expansions for the distributions of functions of the eigenvalues of [formula omitted](ω) are given. These results can be applied to many fundamental statistics in multivariate time series analysis. As an example, we take the reduced form of the cobweb model which is expressed as a two-dimensional vector autoregressive process of order 1 (AR(1) process) and show the asymptotic distribution of [formula omitted], the estimated coherency, and contribution ratio in the principal component analysis based on [formula omitted] in the model, up to the second-order terms. Although our general formulas seem very involved, we can show that they are tractable by using REDUCE 3.

Original language | English |
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Pages (from-to) | 75-96 |

Number of pages | 22 |

Journal | Econometric Theory |

Volume | 6 |

Issue number | 1 |

DOIs | |

Publication status | Published - 1990 |

Externally published | Yes |

### ASJC Scopus subject areas

- Economics and Econometrics
- Social Sciences (miscellaneous)