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Exact Limit of the Expected Periodogram in the Unit-Root case

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  • João Valle e Azevedo

Abstract

We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be independent of time, thus sharing a fundamental property with the stationary case equivalent. We discuss the consequences of this result to the frequency domain interpretation of filtered integrated time series.

Suggested Citation

  • 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.
    • Handle: RePEc:ptu:wpaper:w200713
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200713.pdf
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    References listed on IDEAS

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    1. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    2. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
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    Cited by:

    1. João Valle e Azevedo, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," Working Papers w200712, Banco de Portugal, Economics and Research Department.

    More about this item

    JEL classification:

    • 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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