The Time Domain Implications of Phase Angles and Tau

Jimmy E. Hilliard and Hiram C. Barksdale
Additional contact information
Jimmy E. Hilliard: University of Georgia
Hiram C. Barksdale: University of Georgia

Management Science, 1976, vol. 22, issue 11, 1273-1281

Abstract: In cross-spectral analysis, the tau statistic is used to infer lead-lag relationships between series in the time domain. Unfortunately, it is frequently inferred that tau is meaningful only when the phase diagram is linear. In this paper it is shown that tau is far more robust than is generally recognized. By appeal to the Cramer Decomposition Theorem, the time-domain interpretation of tau is developed and shown to possess optimum mean square properties. While some of the theoretical background is expository, its inclusion facilitates an intuitive analysis of a number of models. We focus in particular on a model that generates a phase reversal similar to that often found in the spectral analysis of aggregate economic series.

Date: 1976
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.22.11.1273 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:22:y:1976:i:11:p:1273-1281

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().