Interpreting Spectral Analyses in Terms of Time-Domain Models
NBER Working Paper No. 37
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.
Document Object Identifier (DOI): 10.3386/w0037