Cross spectral analysis*

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Cross spectral analysis*

Postby NicolasR » Thu Jan 20, 2022 6:03 am

This add-in performs cross spectral analysis between a group of time series. This cross spectral functions allows estimating covariances and correlations in the frequency domain. It also allows to know if one series anticipates or leads the other (in a similar way to Granger causality) and in what magnitude in terms of lags or leads. In the add-in documentation, you will find a brief review of the theory behind the cross spectrum and a simulation exercise that compares results from the data generator mechanism with the add-in estimates. You can find the add-in help document and the program example attached. Comments and suggestions of the add-in are welcomed.

Regards, Nicolas Ronderos Pulido
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