Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series

Supachoke Thawornkaiwong

No 25, PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research

Abstract: We develop and simplify spectral analysis of time series. The main focus is on the spectral representation theorem, Bochner's theorem, and some key results concerning time-invariant linear filters. We then show how to apply these key results to shed some light on various applications including Yule-Slutsky effects, seasonal adjustment and trend estimation. We also show how spectral analysis can indicate appropriateness of certain statistical models when applied with some economic time series.

Keywords: Spectral Analysis; Linear Filters; Exploratory Data Analysis; Yule-Slutzky Effect; Seasonality; Trend Estimation; HP Filters (search for similar items in EconPapers)
JEL-codes: C18 C32 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2016-04
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