Periodogram*

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NicolasR
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Periodogram*

Postby NicolasR » Tue Nov 26, 2013 8:41 pm

This thread is about Periodogram* Add-in which calculates the estimated spectrum of a time series series object.

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Periodogram*

Postby trubador » Wed Nov 27, 2013 6:45 am

Very nice and useful add-in. Thanks for sharing.

terrya
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Re: Periodogram*

Postby terrya » Wed Nov 27, 2013 1:01 pm

Hi

I've just tried this add-in with US industrial production data. I couldn't replicate the periodogram in the accompanying documentation either in scale or peaks. I didn't get the nice sharp well-defined peaks seen in graph 5.

I calculated the percentage MoM change as 100*dlog(indpro) from 1919 to November 2013 (which seems to be how it was calculated in the documentation).

Any ideas?
Last edited by terrya on Fri Dec 20, 2013 12:50 am, edited 1 time in total.

NicolasR
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Re: Periodogram*

Postby NicolasR » Wed Nov 27, 2013 5:24 pm

Hi,

I do it with genr ip_mom=@pc(ip).And the series source is: http://www.econstats.com/ipcu/ip_m1.htm the nsa.

terrya
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Re: Periodogram*

Postby terrya » Wed Nov 27, 2013 7:15 pm

Got it and replicated your result.

terrya
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Re: Periodogram*

Postby terrya » Wed Nov 27, 2013 7:20 pm

Hi

I should have added that I used SA data in my first estimation. I probably didn't read the documentation carefully enough (a bad habit I have).

ecofin
Posts: 178
Joined: Fri May 10, 2013 11:24 am

Re: Periodogram*

Postby ecofin » Wed Dec 11, 2013 12:23 pm

thank's for this add-in :D , just i have one suggestion if in next version of Periodogram (update version) can calculte spectral density and show the spectral density like oxmetrics software.
best regard.

NicolasR
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Location: Here

Re: Periodogram*

Postby NicolasR » Thu Dec 12, 2013 7:30 pm

I don’t know OxMetrics. But the Periodogram is the nonparametric estimator of the population spectrum, perhaps what is needed is the estimated periodogram with kernel (different windows, I'm working on it). I'm not sure if you were talking about this. I would appreciate if you send me papers or literature if not. Thanks. :D

ecofin
Posts: 178
Joined: Fri May 10, 2013 11:24 am

Re: Periodogram*

Postby ecofin » Fri Dec 13, 2013 2:28 pm

thank's for your reply
yes I'm talking about the different windows
for OxMetrics 6 it will plot spectral density and periodogram in separate graphs for the serie it use probably Parzen windows (see the picture), the question is I can do periodogram and spectral density with defferent windows?
I will send you some papers in next time
best regards. ecofin
Attachments
dd-j.JPG
spectral density and periodogram for OxMetrix 6
dd-j.JPG (26.37 KiB) Viewed 8314 times

ecofin
Posts: 178
Joined: Fri May 10, 2013 11:24 am

Re: Periodogram*

Postby ecofin » Sat Dec 14, 2013 7:57 am

this is a papers of spectral density see chapter 7 page 121 the analysis of time series an introduction 6th ed, Chris Chatfield, CHAPMAN AND HALL/CRC, I have some suggestions if you can work some different windows like:
a/Parzen
b/Tukey-Hanning (Tukey-Hann)
c/Tukey-Hamming
d/Daniell
e/Quadratic Parzen
f/Bartlett
g/Truncated

with a more options like:
1/number of points (intervals) like: auto or custom, series length.
2/bandwith: auto or custom, log scale.
3/calculated: omega, scaled frequency, periods, spectral density (in series output)
if there are other windows I'm appreciate to add it in next version of the add-in.
it's just my opinion

some books:
1-Time Series Analysis and Its Applications With R Examples 3rd ed, Robert H. Shumway David S. Stoffer, Springer. (chapter 4)
2-Time Series Analysis With Applications in R, 2nd ed, Jonathan D. Cryer Kung-Sik Chan, Springer. (chapter 13 and 14)
3-Introductory Time Series with R, 1st ed, Paul S.P. Cowpertwait · Andrew V. Metcalfe, Springer. (chapter 9)
4-Time Series: Theory and Methods, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. ( chapter 4 and 10)
5-Introduction to Time Series and Forecasting, 2nd ed, Peter J. Brockwell Richard A. Davis, Springer. (chapter 4)
6-the spectral analysis of time series: probability and mathematical statistics volume 22, Acadimic Press, Lambert H. Koopmans.

finally the next verion of add-in will contain: data periodogram and estimate of A and B (like this version), and different windows (spectral density) with options.

best regrads. ecofin
Attachments
chapter7.zip
(593.67 KiB) Downloaded 299 times

NicolasR
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Location: Here

Re: Periodogram*

Postby NicolasR » Sat Dec 14, 2013 6:21 pm

thanks for the papers, suggestions and ideas. I will finish soon. thank you again.

ecofin
Posts: 178
Joined: Fri May 10, 2013 11:24 am

Re: Periodogram*

Postby ecofin » Sun Dec 15, 2013 2:03 am

it's me that I must thank you again :D
other books if you are interested for mutivariate series in spectral density
1-Spectral Analysis and time series: univariate series, volume 1, M. B.Priestley, ACADIMIC PRESS 1981.
2-Spectral Analysis and time series: multivariate series, volume 2, M. B.Priestley, ACADIMIC PRESS 1981.
3-Univariate Time Series in Geosciences: Theory and Examples, Hans Gilgen, Springer 2006. (chapter 6-7-8-9).

ch2324
Posts: 133
Joined: Fri May 10, 2013 10:52 am

Re: Periodogram*

Postby ch2324 » Sun Dec 15, 2013 8:18 am

I have simple suggestion, if the next version will calculate and graph periodogram and spectral density with different windows for equation object for ARMA model and for group series, for all objects for example: LogL object state space object...etc? :roll:
kind regards.

NicolasR
Posts: 81
Joined: Mon Nov 04, 2013 6:22 pm
Location: Here

Re: Periodogram*

Postby NicolasR » Wed Dec 18, 2013 9:36 am

Hi,

I don't understand the suggestion. Do you mean for the residuals from an equation or state-space representation? or for a series simulated with an ARMA(p,q) data generating mechanism?

Regards.

ch2324
Posts: 133
Joined: Fri May 10, 2013 10:52 am

Re: Periodogram*

Postby ch2324 » Wed Dec 18, 2013 12:16 pm

This add-in calculates the estimated spectrum of a series object. if the next version will support equation object, state space object, logL object (this is my suggestion).
for example I estimate ARMA(2,1) next I chose PROC next add-in next periodogram, the same for state space and logL objects.
have you understand me.
kind regrads


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