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The Averaged Periodogram for Nonstationary Vector Time Series

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  • P.M. Robinson

    ()

  • D. Marinucci

    ()

Abstract

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Suggested Citation

  • P.M. Robinson & D. Marinucci, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 149-160, January.
  • Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:149-160
    DOI: 10.1023/A:1009925202524
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    File URL: http://hdl.handle.net/10.1023/A:1009925202524
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    References listed on IDEAS

    as
    1. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
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    Cited by:

    1. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
    2. 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.
    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. Gilles Dufrénot & Valérie Mignon & Théo Naccache, "undated". "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.
    5. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    6. 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.
    7. 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.
    8. 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.

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