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

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  • Valle e Azevedo, João

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.

Suggested Citation

  • Valle e Azevedo, João, 2007. "Exact Limit of the Expected Periodogram in the Unit-Root Case," MPRA Paper 6553, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6553
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    References listed on IDEAS

    as
    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.
    3. Clifford M. Hurvich & Bonnie K. Ray, 1995. "Estimation Of The Memory Parameter For Nonstationary Or Noninvertible Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 17-41, January.
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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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    More about this item

    Keywords

    Periodogram; Unit root;

    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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