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Frequency Domain Identification of Time Series Models

This paper develops a frequency domain procedure for identification of time series models. The approach is similar to Tintner's variate difference technique for determining the degree of a polynomial by repeated differencing. Unlike conventional procedures, it can identifying mixed processes and multivariate time series models with correlated inputs.
Year of publication:
1982
Authors: Sampson, Michael J.
Institutions: Economics Department, Queen's University
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Type of publication: Book / Working Paper
Notes:
2 pages long
Source:
Persistent link: https://www.econbiz.de/10005787869
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