Interpreting Spectral Analyses in Terms of Time-Domain Models

26 Pages Posted: 9 Aug 2012

See all articles by Robert F. Engle

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Date Written: April 1974

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.

Suggested Citation

Engle, Robert F., Interpreting Spectral Analyses in Terms of Time-Domain Models (April 1974). NBER Working Paper No. w0037. Available at SSRN: https://ssrn.com/abstract=2127048

Robert F. Engle (Contact Author)

New York University - Leonard N. Stern School of Business - Department of Economics ( email )

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New York University (NYU) - Department of Finance

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