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Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I

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  • Lacroix, R.

Abstract

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non parametric tests of this hypothesis, which exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies.

Suggested Citation

  • Lacroix, R., 1999. "Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I," Working papers 70, Banque de France.
    • Handle: RePEc:bfr:banfra:70
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    References listed on IDEAS

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    3. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
    4. Jeganathan, P., 1991. "On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 7(3), pages 269-306, September.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
    7. M. B. Priestley, 1988. "The Spectral Analysis of Time Series," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 151(3), pages 573-574, May.
    8. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 475-495.
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    1. Lacroix, R., 1999. "Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II," Working papers 71, Banque de France.

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    More about this item

    Keywords

    Stationarity ; Spectral density ; Moving average unit root ; Non parametric tests;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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