Cover: Spectral Methods in Econometrics.

Spectral Methods in Econometrics.

Published 1968

by George S. Fishman

Purchase Print Copy

 Format Price
Add to Cart Paperback291 pages $45.00

This study, describing the spectral methods of time series analysis and their use in econometrics, is intended to serve as an introduction for graduate students and econometricians who wish to familiarize themselves with the spectral, or frequency domain, approach. The theory of covariance stochastic processes is introduced, with special emphasis on its application in econometrics. Univariate, bivariate, and multivariate spectral analysis are discussed, the latter two in terms of distributed lag models. Estimation procedures and approximating sampling distributions applicable to the spectrum, the cross spectrum, and the bivariate frequency response function are also described. In the spectral approach to estimation and testing for a system of simultaneous distributed lag equations, extensive use is made of the properties of a Toeplitz matrix, which leads to a number of simplifications in the statistical inference. The final chapter of the study illustrates the application of spectral techniques to an econometric problem: Income and consumption time series are examined using their sample spectra, cross spectrum, and an adaptive distributed lag model. 291 pp. Bibliog.

This report is part of the RAND report series. The report was a product of RAND from 1948 to 1993 that represented the principal publication documenting and transmitting RAND's major research findings and final research.

This document and trademark(s) contained herein are protected by law. This representation of RAND intellectual property is provided for noncommercial use only. Unauthorized posting of this publication online is prohibited; linking directly to this product page is encouraged. Permission is required from RAND to reproduce, or reuse in another form, any of its research documents for commercial purposes. For information on reprint and reuse permissions, please visit

RAND is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.