I need to compute the Fourier transformation of the autocovariance
function of a panel composed by 196 time series.
With autocovarance function i mean a matrix Gamma(u) which contains the
covariance of all the variables at time (t) with all the variables
evaluated at time (t-u). It can be represented by a tri-dimensional
matrix whose dimensions are (196,196,K), where K is the maximum lag
length I am considering (in my case 18). Once computed the Fourier
transformation I need to compute its eigenvalues at any frequencies.
My R-scripts do not work, and I am trying to use the function 'kzft' iin
the package 'kzft'. The problem is that i do not understand well how to
use it. In particular, i tryed with this script (though the meaning of
some of the coefficients is non clear to me):
aa<-coeff.kzft(100,1)
frq<-seq(0, 2*pi, by=0.05)
tf1<-transfun.kzft(100,1,frq,0.0025)
X<-kzft(Gamma[(1:196),(1:196),], 100, 1, 1, 0.005)
thanks in advance. Lorenzo
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