La nozione di spettro stilizzato nell'analisi delle serie storiche

Abstract

This article aims to give a methodological contribution - with considerable operational implications - to economic time series analysis resting on a frequency-domain approach, which finds its roots into Granger's seminal paper (1966). The novelty of the proposal is the introduction of the notion of stylized spectrum, whose estimate reflects the main features of the power distribution of the latent series components over the frequency axis. The stylized spectrum arises transforming the observed series by a battery of filters which cause a sufficiently]v fine partition of the frequency axis; thus enabling us to detect the power contribution of the frequency ranges corresponding to the components of interest, i.e trend, cyclical and seasonal - possibly evolutive - components. The stylized spectrum estimate is an efficient tool to solve some crucial problems of time series analysis, such as: - setting clear criteria to evaluate the contribution of the latent component to the series dynamics; - comparing the actual performances of alternative procedures of components estimation; - evaluating the definition degree corresponding to different filtering methods, and the relevant accuracy of procedures outcomes.