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spectral

non parametric spectral analysis of time series

CALLING SEQUENCE

[rspec]=spectral(arg1,...,argn)

PARAMETERS

Input

* arg1,...,argn = arguments which can be:

  - a string equal to the name of a time series or a (n x k) real vector or matrix between quotes

  - a real (n x 1) vector

  - a real (n x k) matrix

  - a list of such elemnts

  - the string 'noprint' if the user doesn't want to display the results of the regression

  - optional arguments that can be the following:

    . 'trunc=xx'  : lag window size (the default value is k=round(sqrt(T)))

    . 'weight=xx' : (N x 1) vector of weights (equal weights by default) for cohesion

    .'spec=1' : plot spectrum

    .'dcorr=1'     : plot dynamic correlation

    .'phase=1' : plot phase spectrum

    .'coher=1'     : plot coherency

    .'cohes=1' : plot cohesion

    .'boot =1'  : performs block-bootstrap estimation of confindence band

    .B=xx'  : number of draws for bootstrap replication  (default is 200)

    .'sb=xx'  : size of blocks for block-bootstrap (default is 8)

 

Output

* rspec = a results tlist with

  - rspec('cospe') = matrix of cospectra

  - rspec('cohes') = matrix of cohesion (if more than one TS)

  - rspec('coher') = matrix of coherence (if more than one TS)

  - rspec('dcorr') = matrix of dynamic correlations (if more than one TS)

  - rspec('phase') = matrix of standardized phase spectrum (if more than one TS)

  - rspec('order') = order of arrival of variable in cross-products

  - rspec('ucohes') = matrix of upper bound for cohesion (compute by block-bootstrap)

  - rspec('lcohes') = matrix of lower bound for cohesion (compute by block-bootstrap)

  - rspec('ucoher') = matrix of upper bound for coherency (compute by block-bootstrap)

  - rspec('lcoher') = matrix of lower bound for coherency (compute by block-bootstrap)

  - rspec('ucospe') = matrix of upper bound for cospectra (compute by block-bootstrap)

  - rspec('lcospe') = matrix of upper bound for cospectra (compute by block-bootstrap)

  - rspec('udcorr') = matrix of upper bound for dynamic correlations (compute by block-bootstrap)

  - rspec('ldcorr') = matrix of lower bound for dynamic correlations (compute by block-bootstrap)

  - rspec('uphase') = matrix of upper bound for phase spectrum (compute by block-bootstrap)

  - rspec('lphase') = matrix of lower bound for phase spectrum (compute by block-bootstrap)

DESCRIPTION

This function provides standard spectral related tools to analyse stationnary time series. It performs: spectrum, cospectrum, phase spectrum, coherence, dynamic correlation and cohesion.

EXAMPLE

// get the name of variable avaible in the database
lvar =dblist(GROCERDIR+'\data\specgdp.dat');
 
// transforms by log and first difference
for i = 1:size(lvar,1)
    execstr('dl'+lvar(i)+' = delts(log('+lvar(i)+'))')
end
 
// estimates and prints spectral density of each gdp with a truncation window of 6
rspec = spectral('dlger','dlfr','dlit','dlsp','trunc=6','spec=1','cospe=1');
 
// Example taken from spectral_d():  performs spectral analysis of QoQ growth rate of French (fr), German (ger), Italian (it) and Spanish (spa) PPP GDP.

AUTHOR

Emmanuel Michaux 2005

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