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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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File URL: http://cowles.econ.yale.edu/P/cd/d12a/d1243.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1243.

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Length: 59 pages
Date of creation: Dec 1999
Date of revision:
Handle: RePEc:cwl:cwldpp:1243
Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation for Research in Economics, Yale University.
  3. 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.
  4. Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
  5. 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.
  6. Peter C.B. Phillips, 1988. "Spectral Regression for Cointegrated Time Series," Cowles Foundation Discussion Papers 872, Cowles Foundation for Research in Economics, Yale University.
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