SPECTRAN, a set of Matlab programs for Spectral analysis
AbstractSpectral analysis is one of the most important areas of time series econometrics. The use of spectral measures is widespread in different science fields such as economics, physics, engineering, geology. The SPECTRAN toolbox has been developed to facilitate the application of spectral concepts to univariate as well as to multivariate series. It offers a variety of frequency-domain techniques and supports the statistical inference. It also provides convenient tools for the examination of the results, e.g.functions for writing the output to a file or functions specially designed for plotting the estimated spectral measures. The key feature of SPECTRAN is the user-friendliness embodied in, e.g., the central function spectran which performs the whole analysis with default settings, but also gives the user the possibility to adjust them. This document sets out the most relevant spectral concepts and their implementation in SPECTRAN. Finally, three examples shall illustrate the application of different toolbox function to macroeconomic data. --
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Bibliographic InfoPaper provided by University of Hohenheim, Center for Research on Innovation and Services (FZID) in its series FZID Discussion Papers with number 60-2012.
Date of creation: 2012
Date of revision:
univariate spectral analysis; multivariate spectral analysis; Matlab;
Find related papers by JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
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