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SPECTRAN, a set of Matlab programs for Spectral analysis

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  • Marczak, Martyna
  • Gómez, Víctor

Abstract

Spectral analysis is one of the most important areas of time series econometrics. The use of spectral measures is widespread in different science fields such as economics, physics, engineering, geology. The SPECTRAN toolbox has been developed to facilitate the application of spectral concepts to univariate as well as to multivariate series. It offers a variety of frequency-domain techniques and supports the statistical inference. It also provides convenient tools for the examination of the results, e.g.functions for writing the output to a file or functions specially designed for plotting the estimated spectral measures. The key feature of SPECTRAN is the user-friendliness embodied in, e.g., the central function spectran which performs the whole analysis with default settings, but also gives the user the possibility to adjust them. This document sets out the most relevant spectral concepts and their implementation in SPECTRAN. Finally, three examples shall illustrate the application of different toolbox function to macroeconomic data.

Suggested Citation

  • Marczak, Martyna & Gómez, Víctor, 2012. "SPECTRAN, a set of Matlab programs for Spectral analysis," FZID Discussion Papers 60-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
    • Handle: RePEc:zbw:fziddp:602012
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    References listed on IDEAS

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    1. Martyna Marczak & Thomas Beissinger, 2013. "Real wages and the business cycle in Germany," Empirical Economics, Springer, vol. 44(2), pages 469-490, April.
    2. Berens, Philipp, 2009. "CircStat: A MATLAB Toolbox for Circular Statistics," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 31(i10).
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Martyna Marczak & Víctor Gómez, 2017. "Monthly US business cycle indicators: a new multivariate approach based on a band-pass filter," Empirical Economics, Springer, vol. 52(4), pages 1379-1408, June.
    2. Paul Beaudry & Dana Galizia & Franck Portier, 2020. "Putting the Cycle Back into Business Cycle Analysis," American Economic Review, American Economic Association, vol. 110(1), pages 1-47, January.
    3. Tim E. Peer & Diederik Liebrand & Victoria E. Taylor & Swaantje Brzelinski & Iris Wolf & André Bornemann & Oliver Friedrich & Steven M. Bohaty & Chuang Xuan & Peter C. Lippert & Paul A. Wilson, 2024. "Eccentricity pacing and rapid termination of the early Antarctic ice ages," Nature Communications, Nature, vol. 15(1), pages 1-10, December.

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    More about this item

    Keywords

    univariate spectral analysis; multivariate spectral analysis; Matlab;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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