Econometrics pp 444-484 | Cite as

Cross-Spectral Analysis

  • Phoebus J. Dhrymes
Part of the Springer Study Edition book series (SSE)

Abstract

In the previous chapter we have shown how one can characterize a single time series in the frequency domain and how one can estimate the spectral density of the series from a record of finite length.

Keywords

Migration Attenuation Covariance Income Coherence 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Abramovitz, M., Evidences of Long Swings in Aggregate Construction Since the Civil War,” New York, National Bureau of Economic Research, 1964.Google Scholar
  2. 2.
    Abramovitz, M., “The Nature and Significance of Kuznets Cycles,” in the American Economic Association Readings in Business Cycles, R. A. Gordon and L. R. Klein (Eds.), Homewood, Illinois, Richard D. Irwin, Inc., 1965, pp. 519–545.Google Scholar
  3. 3.
    Abramovitz, M., “The Passing of the Kuznets Cycle,” Economica, New Series, vol. 35, 1968, pp. 349–367.CrossRefGoogle Scholar
  4. 4.
    Adelman, I., “Long Cycles—Fact or Artifact?” American Economic Review,vol. 55, 1965, pp. 444–463.Google Scholar
  5. 5.
    Bird, R. C., M. J. Desai, J. J. Engler, and P. J. Taubman, “Kuznets Cycles in Growth Rates; The Meaning,” International Economic Review, vol. 6, 1965, pp. 229–239.CrossRefGoogle Scholar
  6. 6.
    Brandes, O., J. Farley, M. Hinich, and U. Zackrisson, “The Time Domain and the Frequency Domain in Time Series Analysis,” The Swedish Journal of Economics, vol. 70, 1968, pp. 25–49.CrossRefGoogle Scholar
  7. 7.
    Cramer, H., “Stationary Random Processes,” Annals of Mathematical Statistics,vol. 41, 1940, pp.215–230.MathSciNetGoogle Scholar
  8. 8.
    Easterlin, R. A., “ The American Baby Boom in Historical Perspective “ American Economic Review,vol. 51, 1961, pp. 869–911.Google Scholar
  9. 9.
    Easterlin, R. A., “Economic-Demographic Interactions and Long Swings in Economic Growth,” American Economic Review, vol. 56, 1966, pp. 1063–1104.Google Scholar
  10. 10.
    Easterlin, R. A., Population, Labor Force, and Long Swings in Economic Growth, New York National Bureau of Economic Research. In press.Google Scholar
  11. 11.
    Farley, J. U., and M. J. Hinich, “On Methods; Spectra,” Technical Report, Pittsburgh,Carnegie-Mellon University, 1968.Google Scholar
  12. 12.
    Garvy, G., “ KondratiefTs Theory of Long Cycles,” Review of Economics and Statistics,vol. 25, 1943, pp. 203–220.CrossRefGoogle Scholar
  13. 13.
    Goodman, N. R., “On the Joint Estimation of the Spectra, Cospectra, and Quadrature Spectrum of a Two-Dimensional Stationary Gaussian Process,” Scientific Paper No. 10, Engineering Statistics Laboratory of New York University, 1957.Google Scholar
  14. 14.
    Goodman, N. R., “Spectral Analysis of Multiple Stationary Time Series,” inProceedings of the Symposium on Time Series Analysis,M. Rosenblatt, (Ed.), New York, Wiley, 1963, pp. 260–266.Google Scholar
  15. 15.
    Granger, C. W. J., and M. Hatanaka, Spectral Analysis of Economic Time Series,Princeton, N.J., Princeton University Press, 1964.MATHGoogle Scholar
  16. 16.
    Granger, C. W. J., and O. Morgenstern, “Spectral Analysis of New York Stock Market Prices,” Kyklos,vol. 16, 1963, pp. 1–27.CrossRefGoogle Scholar
  17. 17.
    Granger, C. W. J., and H. J. B. Rees, “Spectral Analysis of the Term Structure of Interest Rates,” The Review of Economic Studies, vol. 35(1), 1968, pp. 67–76.CrossRefGoogle Scholar
  18. 18.
    Harkness, J. P., “A Spectral-Analytic Test of the Long-Swing Hypothesis in Canada,” The Review of Economics and Statistics, vol. 50, 1968, pp. 429–436.CrossRefGoogle Scholar
  19. 19.
    Hickman, B. G., “ The Postwar Retardation: Another Long Swing in the Rate of Growth ?” American Economic Review Papers and Proceedings,vol. 53, 1963, pp. 490–507.Google Scholar
  20. 20.
    Howrey, P. E., “A Spectrum Analysis of the Long-Swing Hypothesis,” International Economic Review, vol. 9, 1968, pp. 228–252.CrossRefGoogle Scholar
  21. 21.
    Jenkins, G. M., “Cross-Spectral Analysis and the Estimation of Linear Open Loop Transfer Functions,” In Proceedings of the Symposium on Time Series Analysis, M. Rosenblatt (Ed.), New York, Wiley, 1963, pp. 267–276.Google Scholar
  22. 22.
    Klein, L. R., “Economic Fluctuations in the United States, 1921–1941,” Cowles Commission Monograph 11, New York, Wiley, 1950.Google Scholar
  23. 23.
    Kolmogorov, A. N., “Stationary Sequences in Hilbert Space,” Bulletin: Mathematical Moscow University, vol. 2(6), 1941.Google Scholar
  24. 24.
    Kuznets, S. Secular Movements in Production and Prices,Boston, Houghton-Miffin, 1930.Google Scholar
  25. 25.
    Kuznets, S., National Income, 1919–1938. Occasional Paper No. 2, New York, National Bureau of Economic Research, 1941.Google Scholar
  26. 26.
    Kuznets, S.,National Income: A Summary of Findings,New York, National Bureau of Economic Research, 1946.Google Scholar
  27. 27.
    Kuznets, S. “Long Swings in the Growth of Population and in Related Economic Variables,” Proceedings of the American Philosophical Society,vol. 102, 1958, pp. 25–52.Google Scholar
  28. 28.
    Lewis, W. A., and P. J. O’Leary, “Secular Swings in Production and Trade, 1870–1913,” in the American Economic Association Readings in Business Cycles,R. A. Gordon and L. R. Klein (Eds.), Homewood, Illinois, Richard D. Irwin, 1965, pp. 546–572.Google Scholar
  29. 29.
    Murthy, V. K., “Estimation of the Cross Spectrum,” Technical Report No. 11,Applied Math, and Stat. Laboratories, Stanford University, 1962.Google Scholar
  30. 30.
    Nerlove, M., “Spectral Analysis of Seasonal Adjustment Procedures,” Econometrica,vol. 32, 1964, pp. 241–286.MATHCrossRefGoogle Scholar
  31. 31.
    Nettheim, N., “The Estimation of Coherence,” Technical Report No. 5,Dept. of Statistics, Stanford University, 1966.Google Scholar
  32. 32.
    Parzen, E., “On Empirical Multiple Time Series Analysis,” Technical Report No. 3,Dept. of Statistics, Stanford University, 1965.Google Scholar
  33. 33.
    Parzen, E., “Analysis and Synthesis of Linear Models for Time Series,” Technical Report No. 4,Dept. of Statistics, Stanford University, 1966.Google Scholar
  34. 34.
    Quennouille, M. H., The Analysis of Multiple Time Series, London, Griffin; and New York, Hafner Publishing Co., 1957.Google Scholar
  35. 35.
    Thomas, B., Migration and Economic Growth, Cambridge, Cambridge University Press, 1954.Google Scholar
  36. 36.
    Tinbergen, J., Business Cycles in the United Kingdom, 1870–1914,Amsterdam, North Holland Publishing Co., 1951.Google Scholar
  37. 37.
    Wiener, N., Extrapolation, Interpolation, and Smoothing of Stationary Time Series,New York, Wiley, 1949.MATHGoogle Scholar
  38. 38.
    Wilkinson, M., “Evidences of Long Swings in the Growth of Swedish Population and Related Economic Variables, 1860–1965,” Journal of Economic History,vol. 27, 1967, pp. 17–38.Google Scholar

Copyright information

© Springer-Verlag New York Inc 1974

Authors and Affiliations

  • Phoebus J. Dhrymes
    • 1
  1. 1.Columbia UniversityUSA

Personalised recommendations