Econometrica: Jan 1969, Volume 37, Issue 1

An Harmonic Analysis of Nonstationary Multivariate Economic Processes<131:AHAONM>2.0.CO;2-9
p. 131-141

David R. Brillinger, Michio Hatanaka

This paper presents an heuristic introduction to the harmonic analysis of a class of nonstationary processes and develops the estimation techniques required for such processes in Brillinger and Hatanaka [9]. The introduction is carried out via the notion of a frequency component for both a stationary and a nonstationary process. This form of presentation has the advantage of leading directly to the definitions of power spectrum, cross-spectrum and partial cross-spectrum for stationary processes, and their moving analogues for nonstationary processes. The problem of the formulation and estimation, through harmonic analysis, of a system of simultaneous equations is also considered.

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