The answer is yes, in principle.
However, although Stata has an -fft- command, which I take to do the
trickiest part of what you will want, it is not documented, just used in
various places such as -wntestb-.
Similarly, although Mata has e.g. -fft()-, which is documented, I am not
aware of modern and convenient wrappers for it that do any flavour of
spectral analysis.
In practice, if I wanted to do spectral analysis seriously, and I will
shortly want that, I would look first at other software, and only if it
didn't suit would I try to write my own.
Even if expense is an issue, I guess that there will be good free
software out there that does more than Stata does in this territory.
It's no disrespect to Stata to underline that it doesn't try to do
everything statistical.
Nick
[email protected]
Sachin Chintawar
I am trying to figure out if we can do spectral analysis in stata.
Unfortunately I am unable to find the command. I have traditionally used
SAS
and remember the 'PROC SPECTRA' method can be used to perform spectral
and
cross spectral analysis of time series.
Any help would be greatly appreciated.
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