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COSPECTDENS: Stata module to compute cross spectra

Author

Listed:
  • Huseyin Tastan

    (Yildiz Technical University)

Programming Language

Stata

Abstract

cospectdens estimates several quantities commonly used in bivariate spectral analysis such as cospectrum, coherency-squared, phase spectrum and gain spectrum. varlist accepts two time series: the first variable is treated as the output variable (y), and the second variable is treated as the input variable (x). Smoothing is directly applied to individual periodogram and cross-periodogram obtained from the FFT of variables. Endpoints are adjusted cyclically in the central moving average smoothing. Users may supply their weights as an option or choose one of the weighting schemes. Current version does not apply tapering. This command only graphs the coherency-squared which may be interpreted as the frequency-domain counterpart of the correlation coefficient. To graph other measures users may request them to be saved in an output file.

Suggested Citation

  • Huseyin Tastan, 2016. "COSPECTDENS: Stata module to compute cross spectra," Statistical Software Components S458168, Boston College Department of Economics, revised 31 May 2016.
    • Handle: RePEc:boc:bocode:s458168
    Note: This module should be installed from within Stata by typing "ssc install cospectdens". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/cospectdens.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cospectdens.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/cospectdens_demo1.do
    File Function: sample file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/cospectdens_demo2.do
    File Function: sample file
    Download Restriction: no
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