Re: [Gretl-users] Scaled Frequency in Periodogram
El Monday 03 March 2008 02:09:24 Allin Cottrell escribió:
On Sun, 2 Mar 2008, Thomas La Bone wrote:
> I am playing with sunspot data on a Sunday night, making
> periodograms in various software packages (R, SAS, ITSM, and
> Gretl). The Gretl periodogram is quite nice, with the period on
> the upper x axis and the "scaled frequency" on the lower x axis.
> None of the other packages present scaled frequency as a default
> (I don't know if they offer it at all), and I have been unable
> to nail down exactly what it is. Can anyone offer a simple
> explanation of scaled frequency as it is used in Gretl, or even
> better, a specific reference? Thanks.
W. Greene, Econometric Analysis, 4e, chapter 18, section 18.2.8.
I suppose there must be a counterpart in more recent editions;
I'll see if I can find a newer reference.
I don't have this reference, but looking at the numbers I can guess that:
if T is the period, and Nobs the number of observations, the scaled frequency
is
f=Nobs/T,
or said in another way, if w is the angular frequency, (w=2*pi/T)
f=w*(Nobs/2*pi)
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.et.bs.ehu.es