Matlab code for the spectrum of a stochastic process
AbstractThis 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.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 31.
Programming language: Matlab
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