Interpreting Spectral Analyses in Terms of Time-Domain Models / Robert F. Engle.

Format:

Book

Author/Creator:

Engle, Robert F.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0037.

NBER working paper series no. w0037

Language:

English

Subjects (All):

Spectrum analysis.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1974.

Cambridge, Mass. : National Bureau of Economic Research, 1974.

Summary:

This paper derives relationships between frequency-domain and standard time-domain distributed-lag and autoregessive moving-average models. These relations are well known in the literature but are presented here in a pedogogic form in order to facilitate interpretation of spectral and cross-spectral analyses. In addition, the paper employs the conventions and discusses the estimation procedures used in TROLL. Some aspects of these estimation procedures are new and have not been discussed in the literature.

Notes:

Print version record

April 1974.