Spectral Analysis*
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 Nonnormality and collinearity are NOT problems!
 Posts: 3567
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Spectral Analysis*
Note that this addin is not an EViews product. It is an additional program generously made available by a user.

 Posts: 63
 Joined: Sat Jun 06, 2015 11:48 am
Re: Spectral Analysis*
I did not want to be misunderstood, my note was not addressed to Nicolas user.
Sorry
Sorry
Re: Spectral Analysis*
If you are interested in a shotrun cycle you can estimate the spectrum by months or even by weeks as follows.
Where your week contains 1250 data points and w!i is the i th week.
Code: Select all
wfcreate u 1 1250
for !i=1 to 96
genr w!i=nrnd
w!i.spectral(periodogram)
next
Where your week contains 1250 data points and w!i is the i th week.

 Posts: 63
 Joined: Sat Jun 06, 2015 11:48 am
Re: Spectral Analysis*
thanks Nicolas but analyze a time window on a weekly or monthly is not of any use in the financial field.
Another speech in the economic scenario....
Another speech in the economic scenario....

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12501
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Spectral Analysis*
I don't really understand what you are requesting, and from whom.
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Re: Spectral Analysis*
nicotrader wrote:I think software should allow econometric analysis of time series high frequency, everything else is the past.
nicotrader wrote:thanks Nicolas but analyze a time window on a weekly or monthly is not of any use in the financial field.
These statements may reflect the personal views on the subject, but are simply wrong from an empirical perspective.
First of all, EViews allows the analysis of high frequency (HF) data. However, it does not have any builtin objects under such a specific category. You can always write your own procedures so as to suit your needs.
High frequency is not superior to other (lower) frequencies and vice versa. Each has its own merits and therefore is valuable and contributes to inferential process in the financial field.

 Posts: 63
 Joined: Sat Jun 06, 2015 11:48 am
Re: Spectral Analysis*
EViews Gareth wrote:I don't really understand what you are requesting, and from whom.
It is very simple.
The user Nicolas has implemented the software with a great addin, but as mentioned is not able to manage some thousands of observations.
I do not pretend to Nicolas revising add in for me but i demand that an econometric software that costs almost $ 2,000 to do it.
Simple right?

 Posts: 63
 Joined: Sat Jun 06, 2015 11:48 am
Re: Spectral Analysis*
trubador wrote:nicotrader wrote:I think software should allow econometric analysis of time series high frequency, everything else is the past.nicotrader wrote:thanks Nicolas but analyze a time window on a weekly or monthly is not of any use in the financial field.
These statements may reflect the personal views on the subject, but are simply wrong from an empirical perspective.
First of all, EViews allows the analysis of high frequency (HF) data. However, it does not have any builtin objects under such a specific category. You can always write your own procedures so as to suit your needs.
High frequency is not superior to other (lower) frequencies and vice versa. Each has its own merits and therefore is valuable and contributes to inferential process in the financial field.
I'm sorry but it is not so ...
We just think of the memory feature long suffered by the HF data ....
and it could take dozens of examples to support my thesis.

 Posts: 63
 Joined: Sat Jun 06, 2015 11:48 am
Re: Spectral Analysis*
I'm not here to make controversy!
This is the forum of a econometric software right?
Then carry my experience with the hope that we can improve this software.
Am i doing something wrong?
Or do we want to leave the complete supremacy to MATLAB?
I hate Matlab and i hope Eviews best.
This is the forum of a econometric software right?
Then carry my experience with the hope that we can improve this software.
Am i doing something wrong?
Or do we want to leave the complete supremacy to MATLAB?
I hate Matlab and i hope Eviews best.
Re: Spectral Analysis*
nicotrader wrote:I'm not here to make controversy!
This is the forum of a econometric software right?
Then carry my experience with the hope that we can improve this software.
Am i doing something wrong?
Or do we want to leave the complete supremacy to MATLAB?
I hate Matlab and i hope Eviews best.
This is a discussion, not a controversy. And it is harmless.
The software (like all others) is in a constant improvement.
You are not doing anything wrong. You are just making very bold statements out of your own focus/experience, which I strongly disagree.
Traders are not the only group that makes use of this software. Or high frequency analysis tools are not the only tools that are used by analysts/experts.
Each software has its own merits as well. If it was not, then everyone would be using "the one". Unfortunately, this is a world of tradeoffs.
The theory of high frequency analysis is still in its development stage. Therefore, you can always share your experience in the field, and point the developers in the right direction as to which technique has the utmost importance.
We, as users, are trying to do our best to help improve the software and you are very well welcome if you like to join the crowd.
Re: Spectral Analysis*
Dear Mr NicolasR,
this Addin can make several smoothing window, can you add:
1Tukey window;
2Cumulative spectral distribution (http://www.stata.com/support/faqs/graph ... tribution/).
Kind Regards.
this Addin can make several smoothing window, can you add:
1Tukey window;
2Cumulative spectral distribution (http://www.stata.com/support/faqs/graph ... tribution/).
Kind Regards.
Re: Spectral Analysis*
Hi,
The Hamming and Hann windows are special cases of the Tukey, do you mean a box to insert the parameter of the Tukey window?
The addin already estimate the cumulative spectral distribution, is the distribution showed in the Normalized Integrated spectrum test which is the same as the wntestb command in stata. In the attatched workfile you can find the time series used in the estimates you showed, with the following command the test will be calculated (with the C.S.D) together with the 4 sinusoidal waves that compose the series and their periodogram.
Regards,
The Hamming and Hann windows are special cases of the Tukey, do you mean a box to insert the parameter of the Tukey window?
The addin already estimate the cumulative spectral distribution, is the distribution showed in the Normalized Integrated spectrum test which is the same as the wntestb command in stata. In the attatched workfile you can find the time series used in the estimates you showed, with the following command the test will be calculated (with the C.S.D) together with the 4 sinusoidal waves that compose the series and their periodogram.
Code: Select all
cos4.spectral(t,criteria=4,individual)
Regards,
 Attachments

 cos4.wf1
 (12.28 KiB) Downloaded 215 times
Re: Spectral Analysis*
hi,
thanks a lot for the wokfile
1/ ok!
2/ how can make the cumulative spectral distribution for any series and show the graph?
3/ i use the Dow Jones Industrial Average (DJIA) daily , from 01/10/1928 to 24/01/2014 with 21426 obs, i generate a new series dly=dlog(y), my problem when i use the spectral analysis with the Hann or Hamming and the others window the error message appear out of memory...etc. but when i use this data with GAUSS 5 software it can make the spectrum with Tukey.
so my question: is the error that the window of Hann and Hamming not the same that Tukey in GAUSS 5? are there a solution to make spectrum with all windows with this Addin.
Kind Regards.
thanks a lot for the wokfile
1/ ok!
2/ how can make the cumulative spectral distribution for any series and show the graph?
3/ i use the Dow Jones Industrial Average (DJIA) daily , from 01/10/1928 to 24/01/2014 with 21426 obs, i generate a new series dly=dlog(y), my problem when i use the spectral analysis with the Hann or Hamming and the others window the error message appear out of memory...etc. but when i use this data with GAUSS 5 software it can make the spectrum with Tukey.
so my question: is the error that the window of Hann and Hamming not the same that Tukey in GAUSS 5? are there a solution to make spectrum with all windows with this Addin.
Kind Regards.
 Attachments

 GAUSS 5.png (4.25 KiB) Viewed 9553 times

 Hann_.png (45.85 KiB) Viewed 9553 times

 stocks.wf1
 (1.37 MiB) Downloaded 213 times
Re: Spectral Analysis*
2. The spool "signal_tests" contains the graph and tabulate of the C.S.D you can extract any of them from the spool.
3. I can get the spectrum of the log returns using the Hamming window. The error of the out of memory appers because there are limits in the size of a matrix. I guess that i can calculate the spectrum and you do not because my machine has more memory (operative system of 64bits). I do not know if there is an option to increase the size of the matrix with which one works, Gareth this kind of option exists?
Code: Select all
dlg.spectral(t,criteria=4,individual)
signal_tests.extract(csd) graph_3
3. I can get the spectrum of the log returns using the Hamming window. The error of the out of memory appers because there are limits in the size of a matrix. I guess that i can calculate the spectrum and you do not because my machine has more memory (operative system of 64bits). I do not know if there is an option to increase the size of the matrix with which one works, Gareth this kind of option exists?

 Fe ddaethom, fe welon, fe amcangyfrifon
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 Joined: Tue Sep 16, 2008 5:38 pm
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