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The Averaged Periodogram for Nonstationary Vector Time Series

Author

Listed:
  • D Marinucci
  • Peter M Robinson

Abstract

Averaged periodogram; nonstationary processes; fractional Brownian motion.

Suggested Citation

  • D Marinucci & Peter M Robinson, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," STICERD - Econometrics Paper Series 408, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:408
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    File URL: https://sticerd.lse.ac.uk/dps/em/em408.pdf
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    Citations

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    Cited by:

    1. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
    2. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2009. "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
    3. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    4. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
    5. Li, Ming, 2017. "Record length requirement of long-range dependent teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 164-187.
    6. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers 2022-07, Department of Economics and Business Economics, Aarhus University.
    7. Marinucci, D. & Robinson, Peter M., 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
    8. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "Testing Catching-Up Between The Developing Countries: “Growth Resistance” And Sometimes “Growth Tragedy”," Bulletin of Economic Research, Wiley Blackwell, vol. 64(4), pages 470-508, October.
    9. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    10. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    11. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    12. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
    13. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    14. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.

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