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The Averaged Periodogram for Nonstationary Vector Time Series

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Author Info
P.M. Robinson ()
D. Marinucci ()
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File URL: http://hdl.handle.net/10.1023/A:1009925202524
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Publisher Info
Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 3 (2000)
Issue (Month): 1 (January)
Pages: 149-160
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Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:149-160

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Related research
Keywords: averaged periodogram nonstationary processes fractional Brownian motion

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  1. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series /2004/476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  2. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  3. Javier Hualde & Peter M Robinson, 2003. "Cointegration in Fractional Systems with Unkown Integration Orders," STICERD - Econometrics Paper Series /2003/449, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  4. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    Other versions:
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