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

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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Year of publication:	2007
Authors:	Azevedo, João Valle e
Institutions:	Banco de Portugal

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008524170