Interpreting Spectral Analyses in Terms of Time-Domain Models

Robert Engle

No 37, NBER Working Papers from National Bureau of Economic Research, Inc

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.

Date: 1974-04
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Published as Engle, R., from Annals of Economic and Social Measurements, Vol. 5, 1976.
Published as Interpreting Spectral Analyses in Terms of Time-Domain Models , Robert F. Engle. in Annals of Economic and Social Measurement, Volume 5, number 1 , Berg. 1976

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Chapter: Interpreting Spectral Analyses in Terms of Time-Domain Models (1976)
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