Most of the phenomena in our world are periodic in nature. Yet, econometric courses at undergraduate / graduate level inevitably start from the time domain instead of frequency domain. This book is a great introduction for some one looking to get an overview of frequency domain analysis. All the principles are explained from a regression standpoint in the initial chapters. Discrete Fourier Transforms are gradually introduced to connect various ideas. Both univariate and multivariate time series are dealt at length with just enough mathematical rigor.
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