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

Valle e Azevedo, João (2007): Exact Limit of the Expected Periodogram in the Unit-Root Case.

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Abstract

We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be time-independent, 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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