VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Returns the estimated multivariate spectrum from a VAR given by the the combination of model and sigma. It returns in its third argument a series of complex matrices.

Language: RATS
Requires: RATS 6.10
Keywords: State-space models; spectral analysis (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00230

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