Matlab code for the spectrum of a stochastic process

Thomas Sargent

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: This function computes the "spectrum" (i.e., the squared amplitude of the frequency response function) of a stochastic process a(L)x(t) = b(L) e(t) where e(t) is a white noise with unit variance and a(L) = 1 +a1*L + ... + am*L^m, b(L) = b0 + b1*L + ... + br*L^r. The frequency response of x to e is computed using FREQ. Then the spectrum is computed as the squared amplitude of the frequency response.

Language: Matlab
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dge.repec.org/codes/sargent/shownew.m program code (application/x-matlab)
none

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:dge:qmrbcd:31

Access Statistics for this software item

More software in QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles
Bibliographic data for series maintained by Christian Zimmermann ().