Exact Limit of the Expected Periodogram in the Unit-Root Case
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Other versions of this item:
- João Valle e Azevedo, 2007. "Exact Limit of the Expected Periodogram in the Unit-Root case," Working Papers w200713, Banco de Portugal, Economics and Research Department.
References listed on IDEAS
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Velasco, Carlos, 1999.
"Non-stationary log-periodogram regression,"
Journal of Econometrics,
Elsevier, vol. 91(2), pages 325-371, August.
- Velasco Gómez, Carlos, 1998. "Non-stationary log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4554, Universidad Carlos III de Madrid. Departamento de Estadística.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- João Valle e Azevedo, 2007.
"Interpretation of the Effects of Filtering Integrated Time Series,"
w200712, Banco de Portugal, Economics and Research Department.
- Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
More about this item
KeywordsPeriodogram; Unit root;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-12 (All new papers)
- NEP-ECM-2008-01-12 (Econometrics)
- NEP-ETS-2008-01-12 (Econometric Time Series)
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