Frequency domain analysis of time series
Peijie Wang · 2008
Spectral analysis, or studies in the frequency domain, is one of the unconventional subjects in time series econometrics. The frequency domainmethod has existed for a long time and has been extensively used in electronic engineering such as signal processing, communications, and automatic control. Although the application of the frequency domain method in econometrics may have as long a history as that in engineering, it has been sporadic and regarded unorthodox and often plays a supplementary role.