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

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Listed author(s):
  • 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.

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File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200713.pdf
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Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200713.

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Date of creation: 2007
Handle: RePEc:ptu:wpaper:w200713
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Find related papers by 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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  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.

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