Interpreting Spectral Analyses in Terms of Time-Domain Models
26 Pages Posted: 9 Aug 2012 Last revised: 10 Aug 2022
Date Written: April 1974
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.
Suggested Citation: Suggested Citation
Engle, Robert F., Interpreting Spectral Analyses in Terms of Time-Domain Models (April 1974). NBER Working Paper No. w0037, Available at SSRN: https://ssrn.com/abstract=2127048
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