Exact Limit of the Expected Periodogram in the Unit-Root Case
AbstractWe 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 6553.
Date of creation: 21 Sep 2007
Date of revision:
Periodogram; Unit root;
Other versions of this item:
- João Valle e Azevedo, 2007. "Exact Limit of the Expected Periodogram in the Unit-Root case," Working Papers w200713, Banco de Portugal, Economics and Research Department.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-12 (All new papers)
- NEP-ECM-2008-01-12 (Econometrics)
- NEP-ETS-2008-01-12 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Valle e Azevedo, João, 2007.
"Interpretation of the Effects of Filtering Integrated Time Series,"
6574, University Library of Munich, Germany.
- 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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