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Exact Limit of the Expected Periodogram in the Unit-Root Case

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  • Valle e Azevedo, João

Abstract

We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be time-independent, thus sharing a fundamental property with the stationary case equivalent. We discuss the consequences of this result to the frequency domain interpretation of filtered integrated time series.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 6553.

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Date of creation: 21 Sep 2007
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Handle: RePEc:pra:mprapa:6553

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Keywords: Periodogram; Unit root;

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  1. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
  2. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
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Cited by:
  1. João Valle e Azevedo, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," Working Papers w200712, Banco de Portugal, Economics and Research Department.

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