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Frequency Domain Modeling With Piecewise Constant Spectra, Erhard Reschenhofer

Journal of Modern Applied Statistical Methods

Using piecewise constant functions as models for the spectral density of the differenced log real U.S. GDP it was found that these models have the capacity to compete with the spectral densities implied by ARMA models. According to AIC and BIC the piecewise constant spectral densities are superior to ARMA.