Re: Scaled Frequency in Periodogram

On Mon, 3 Mar 2008, Thomas La Bone wrote:

> Yes, that seems to be what Gretl is doing. Thanks. The next question is why? 
> What is the advantage of scaling the frequency in this way?

If you have a time series with a marked cycle, a peak in the spectrum at a 
specified "scaled frequency" tells you how many cycles you're likely to 
observe in the data. Nice to have. Try this:

nulldata 150
setobs 1 1 --special
set seed 12345

e = normal()
series y = 0
y = 1.5*y(-1) - 0.8*y(-2) + e

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@...
http://www.econ.univpm.it/lucchetti

On Mon, 3 Mar 2008, Thomas La Bone wrote:

> Yes, that seems to be what Gretl is doing. Thanks. The next question is why? 
> What is the advantage of scaling the frequency in this way?

If you have a time series with a marked cycle, a peak in the spectrum at a 
specified "scaled frequency" tells you how many cycles you're likely to 
observe in the data. Nice to have. Try this:

nulldata 150
setobs 1 1 --special
set seed 12345

e = normal()
series y = 0
y = 1.5*y(-1) - 0.8*y(-2) + e

Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti@...
http://www.econ.univpm.it/lucchetti