Narrow-Band Analysis of Nonstationary Processes
The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two nonstationary processes of possibly different orders, or a nonstationary and an asymptotically stationary one. The averaging takes place either over the whole frequency band, or over one that degenerates slowly to zero frequency as sample size increases. In some cases it is found to make no asymptotic difference, and in particular we indicate how the behaviour of the mean and variance changes across the two-dimensional space of integration orders. The results employ only local-to-zero assumptions on the spectra of the underlying weakly stationary sequences. It is shown how the results can be applied in fractional cointegration with unknown integration orders.
|Date of creation:||Jul 2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp|
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- 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.
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- repec:cup:etheor:v:13:y:1997:i:5:p:692-745 is not listed on IDEAS
- D Marinucci & Peter M. Robinson, 2000. "The averaged periodogram for nonstationary vector time series," LSE Research Online Documents on Economics 2294, London School of Economics and Political Science, LSE Library.
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- D Marinucci & Peter M Robinson, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," STICERD - Econometrics Paper Series /2000/408, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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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