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Interpreting Spectral Analyses in Terms of Time-Domain Models

In: Annals of Economic and Social Measurement, Volume 5, number 1

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  • Robert F. Engle

Abstract

This paper derives relationships between frequency-domain and standard time-domain distributed-lag and autoregessive moving-average models. These relations are well known in the literature but are presented here in a pedogogic form in order to facilitate interpretation of spectral and cross-spectral analyses. In addition, the paper employs the conventions and discusses the estimation procedures used in TROLL. Some aspects of these estimation procedures are new and have not been discussed in the literature.
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Suggested Citation

  • Robert F. Engle, 1976. "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 89-109 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:10429
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    1. Various, 1975. "Staff Reports on Research Under Way," NBER Chapters,in: Understanding Economic Change, pages 9-120 National Bureau of Economic Research, Inc.

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