Discrete Fourier Transforms of Fractional Processes with Econometric Applications
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- Peter C. B. Phillips, 2023. "Discrete Fourier Transforms of Fractional Processes with Econometric Applications," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Theory, volume 45, pages 3-71, Emerald Group Publishing Limited.
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More about this item
Keywords
Discrete Fourier transform; Fractional Brownian motion; Fractional integration; Log periodogram regression; Nonstationarity; Operator decomposition; Semiparametric estimation; Whittle likelihood;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-11-01 (Econometrics)
- NEP-ETS-2021-11-01 (Econometric Time Series)
- NEP-ORE-2021-11-01 (Operations Research)
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