This paper expounds some of the results of Fourier theory that are essential to the statistical analysis of time series. It employs the algebra of circulant matrices to expose the structure of the discrete Fourier transform and to elucidate the filtering operations that may be applied to finite...

Whenever the specification of a dynamic regression relationship is in doubt, we should think of adopting a rational transfer-function model with separate parameters in the systematic part and the disturbance part. Some of the models which are commonly used in applied econometrics can give rise...