SPECTRAL FINANCIAL ECONOMETRICS
综述了谱回归估计方法，构建了一个统一框架来建模经济时间序列对解释变量变化的频率依赖响应，强调统计结构和经济解释，并讨论了领先滞后效应在不同时间维度上的作用。
We survey the literature on spectral regression estimation. We present a cohesive framework designed to model dependence on frequency in the response of economic time series to changes in the explanatory variables. Our emphasis is on the statistical structure and on the economic interpretation of time-domain specifications needed to obtain horizon effects over frequencies , over scales , or upon aggregation . To this end, we articulate our discussion around the role played by lead-lag effects in the explanatory variables as drivers of differential information across horizons. We provide perspectives for future work throughout.