{"title":"SPECTRAL FINANCIAL ECONOMETRICS","authors":"F. Bandi, A. Tamoni","doi":"10.1017/S0266466622000020","DOIUrl":null,"url":null,"abstract":"We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies, over scales, or upon aggregation. To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"38 1","pages":"1175 - 1220"},"PeriodicalIF":1.0000,"publicationDate":"2022-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/S0266466622000020","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1
Abstract
We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies, over scales, or upon aggregation. To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.
Econometric TheoryMATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍：
Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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