Author： Hallett Andrew Hughes Richter Christian R.
Publisher： Springer Publishing Company
ISSN： 0927-7099
Source： Computational Economics, Vol.23, Iss.3, 2004-04, pp. : 271-288
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Abstract
In this paper, we show how to derive the spectra and cross-spectra of economic time series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis evaluation of economic and financial variables on a reduced sample of data, without it being ruled out by the large sample requirements of direct spectral estimation. We show, in particular, how this can be done for time-varying models and time-varying spectra. We use our techniques to show how the behaviour of British interest rates changed during and following the ERM crisis of 1992/3.
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