Old and New Spectral Techniques for Economic Time Series
AbstractThis methodological paper reviews different spectral techniques well suitable to the analysis of economic time series. While econometric time series analysis is generally yielded in the time domain, these techniques propose a complementary approach based on the frequency domain. Spectral decomposition and time series reconstruction provide a precise quantitative and formal description of the main oscillatory components of a series: thus, it is possible to formally identify trends, lowfrequency components, business cycles, seasonalities, etc. Since recent developments in spectral techniques allow to manage even with short noisy dataset, nonstationary processes, non purely periodic components these tools could be applied on economic datasets more widely than they nowadays are.
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Bibliographic InfoPaper provided by University of Turin in its series Department of Economics and Statistics Cognetti de Martiis. Working Papers with number 200809.
Length: 65 pages
Date of creation: May 2008
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-21 (All new papers)
- NEP-ECM-2008-06-21 (Econometrics)
- NEP-ETS-2008-06-21 (Econometric Time Series)
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