Spectral Analysis for Economic Time Series

By Alessandra Iacobucci. 2005

203 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/af391f405022288d201c3522c7af0e467323cd06

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In Economics and Econometrics

Citations in the corpus

The US Wage Phillips Curve Across Frequencies and Over Time (2011, background): “The results stemming from time-scale regression analysis show that relationships that are veiled when estimated at the aggregate level, such as the magnitude 1There are only very few examples of frequency domain analyses of the Phillips curve (e.g. Iacobucci, 2003; Zhu, 2005).”
MEG and EEG data analysis with MNE-Python (2013, background): “Multivariate connectivity measures, such as partial coherence (Granger and Hatanaka, 1964), can alleviate this problem by analyzing the connectivity between all regions simultaneously (cf. Schelter et al., 2006).”
Do financial variables help forecasting inflation and real activity in the Euro area (2003, unknown): “660[10] 0.”
Long Cycles in Growth: Explorations Using New Frequency Domain Techniques with US Data (2010, unknown): “The first systematic frequency domain analysis of cycles in growth data was by Granger and Hatanka (1964) 1 with commentary by Adelman (1965) and then the celebrated article by Granger (1966) appeared in Econometrica.”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, methodology): “Our estimates of the coherence measures are based on the classic Tukey-Hanning method; see, e.g., the discussion in Granger and Hatanaka (1964).”
Locally Stationary Processes (2011, background): “…idea of having locally approximately a stationary process was also the starting point of Priestley’s theory of processes with evolutionary spectra (Priestley (1965) – see also Priestley (1988), Granger and Hatanaka (1964), Tjøstheim (1976) and Mélard and Herteleer- de-Schutter (1989) among others).”
Testing temporal constancy of the spectral structure of a time series (2009, background): “also Granger (1964) and Priestley (1988) for an overview.”
Weathering Tight Economic Times: The Sales Evolution of Consumer Durables Over the Business Cycle (2003, methodology): “This is because the ‘Nyquist frequency’, i.e. the highest frequency about which we have direct information, corresponds to a component of two years in duration when using annual data (see Granger and Hatanaka, 1964; Vilasuso, 1997 for technical details).”
Analysis of Financial Time-Series Using Fourier and Wavelet Methods (2008, background): “Many economics and econometrics books and articles have been published on the subject during the last 40 years (see Iacobucci (2003) for a short literature review).”
MNE software for processing MEG and EEG data (2013, background): “Multivariate connectivity measures, such as partial coherence (Granger and Hatanaka, 1964), can alleviate this problem by analyzing the connectivity between all regions simultaneously (cf. Schelter et al., 2006).”
Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis (2011, methodology): “Classical nonparametric spectral-based inference methods have proven quite effective [Granger, 1964, Bloomfield, 1976], essentially in a Gaussian context, where dependencies are fully characterized by autocovariance functions. Therefore, it can be anticipated that similar methods, based on estimated”