[Gretl-users] Cross Periodogram Calculation

Here's my first try to calculate a Cross Periodogram with Gretl. It's obviously not perfect, but I think it is a bit useful. Maybe someone feels adressed to continue the development for a cross spectral density or something else ...the values are (nearly) the same as with Statistica. _________________________________________________________ nulldata 200 #generate two related processes series X=0 series Y=0 X=0.9*X(-1)+normal() Y= 0.4*X + 0.75*Y(-1)+normal() X1={ X } Y1={ Y } Fx=fft(X1) Fy=fft(Y1) #lambda = seq(1,($nobs/2))'.*(1/$nobs) series a=Fx[,1] series b=Fx[,2] series c=Fy[,1] series d=Fy[,2] #Computes the cross-periodogram with x as a dependent series crossxy_re=(a*c+b*d)/($nobs/2) series crossxy_im=(b*c-a*d)/($nobs/2) #Computes the cross-periodogram with y as a denpendent (imaginary part - the real part is the same as with x as a dependent) series crossyx_im=(d*a-c*b)/($nobs/2) delete a b c d _________________________________________________________ Kind regards _________________________________________________________________ http://redirect.gimas.net/?n=M1001xFotos2 Dein Santa Claus hat rote Augen? Jetzt X-Mas-Fotos bearbeiten!