SPECTDENS: Stata module to compute sample spectral density
Huseyin Tastan
Statistical Software Components from Boston College Department of Economics
Abstract:
spectdens computes and graphs sample spectral density (or the smoothed periodogram) of a single time series using nonparametric methods. Users may supply their weights as an option or choose one of the weighting schemes. Smoothing is directly applied to the periodogram ordinates and endpoints are adjusted cyclically. spectdens also allows users to create a data set indexed by the frequency containing computed periodogram and sample spectral density.
Language: Stata
Requires: Stata version 12
Keywords: spectral density; periodogram; frequency domain (search for similar items in EconPapers)
Date: 2016-03-13, Revised 2016-05-31
Note: This module should be installed from within Stata by typing "ssc install spectdens". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/spectdens.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/spectdens.sthlp help file (text/plain)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458152
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