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

By:

Engle, Robert F

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0037.Publication details: Cambridge, Mass. National Bureau of Economic Research 1974.Description: 1 online resource: illustrations (black and white)Online resources:

Available additional physical forms:

Hardcopy version available to institutional subscribers

Abstract: 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.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0037 (Browse shelf(Opens below))	Not For Loan

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April 1974.

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.