Frequency Domain Identification of Time Series Models

Michael J. Sampson

Working Paper from Economics Department, Queen's University

Abstract: This paper develops a frequency domain procedure for identification of time series models. The approach is similar to Tintner's variate difference technique for determining the degree of a polynomial by repeated differencing. Unlike conventional procedures, it can identifying mixed processes and multivariate time series models with correlated inputs.

Pages: 20
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:470

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