Download This PaperSpectral Analysis of Economic Time Series Behaviour
Manchester School of Management Working Paper No. 9914
16 Pages Posted: 30 Mar 2001
Date Written: 1999
Abstract
Analysing the whole spectrum of time series, this paper proposes a frequency domain approach to measuring persistence and examining the associated time series properties. Two statistics have been developed to identify typical patterns and behaviour in economic and financial data.
Keywords: Spectrum, the Fourier Transform, Persistence, Time Series
JEL Classification: C22
Suggested Citation: Suggested Citation
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