TY  - JOUR
AU  - Engle,Robert F.
TI  - Interpreting Spectral Analyses in Terms of Time-Domain Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 37
PY  - 1974
Y2  - April 1974
UR  - http://www.nber.org/papers/w0037
L1  - http://www.nber.org/papers/w0037.pdf
N1  - Author contact info:
Robert F. Engle, III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY  10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: rengle@stern.nyu.edu
M1  - published as Robert F. Engle. "Interpreting Spectral Analyses in Terms of Time-Domain Models," in Sanford V. Berg, editor, "Annals of Economic and Social Measurement, Volume 5, number 1" NBER (1976)

AB  - 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.
ER  -