Discrete Fourier Transforms of Fractional Processes
Discrete Fourier transforms (dft's) of fractional processes are studied and an exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter d >= 1/2. Various asymptotic approximations are suggested. It is shown that smoothed periodogram spectral estimates remain consistent for frequencies away from the origin in the nonstationary case provided the memory parameter d
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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 & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B., 2007.
"Unit root log periodogram regression,"
Journal of Econometrics,
Elsevier, vol. 138(1), pages 104-124, May.
- Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002.
"Band Spectral Regression with Trending Data,"
Econometric Society, vol. 70(3), pages 1067-1109, May.
- Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997. "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers 1163, Cowles Foundation for Research in Economics, Yale University.
- Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers 97-09, University of Iowa, Department of Economics.
- Peter C.B. Phillips, 1988. "Spectral Regression for Cointegrated Time Series," Cowles Foundation Discussion Papers 872, Cowles Foundation for Research in Economics, Yale University.
- Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
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