A filtered data sequence can be obtained by multiplying the Fourier ordinates of the data by the ordinates of the frequency response of the filter and by applying the inverse Fourier transform to carry the product back to the time domain. Using this technique, it is possible, within the...

An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering procedures that operate primarily in the frequency domain. Their advantage is that they are able...

The purpose of this paper is to provide a systematic treatment of the problem of estimation in systems of linear stochastic equations where some of the disturbances are uncorrelated and where the identifying equations are equivalent to a linear system.