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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Exact Limit of the Expected Periodogram in the Unit-Root Case |
| Language: | English |
| Keywords: | Periodogram, Unit root |
| Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |
| Item ID: | 6553 |
| Depositing User: | Unnamed user with email azevedojv@gmail.com |
| Date Deposited: | 04 Jan 2008 00:00 |
| Last Modified: | 07 Oct 2019 18:40 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/6553 |
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