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Published in:
2005 | OriginalPaper | Chapter
Spectral Analysis for Economic Time Series
Author : Alessandra Iacobucci
Published in: New Tools of Economic Dynamics
Publisher: Springer Berlin Heidelberg
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The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and of its cyclical behavior at different time scales. In this paper, the issues of cross-spectral analysis and filtering are concisely broached, dwelling in particular upon the windowed filter [15]. In order to show the usefulness of these tools, an application to real data — namely to US unemployment and inflation — is presented. By means of cross spectral analysis and filtering, a correlation can be found between these two quantities (i.e. the Phillips curve) in some specific frequency bands, even if it does not appear in raw data.