Spectral methods in econometrics

During the twentieth century, statistical methods for analyzing time series have broadened considerably in both scope and feasibility. Notable among these developments is the spectral approach to time series analysis, which decomposes a time series into frequency components. In this volume, George Fishman presents a detailed account of the underlying theory for univariate, bivariate, and multivariate time series, and describes corresponding methods of statistical inference for spectral quantities of interest. He places special emphasis on the estimation of coefficients in distributed lag models.