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.

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Year of publication:	1982
Authors:	Sampson, Michael J.
Institutions:	Economics Department, Queen's University

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787869