SPECTRAL FINANCIAL ECONOMETRICS

Federico M. Bandi and Andrea Tamoni

Econometric Theory, 2022, vol. 38, issue 6, 1175-1220

Abstract: We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies, over scales, or upon aggregation. To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:38:y:2022:i:6:p:1175-1220_6

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