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 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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Year of publication:	2007-09-21
Authors:	Valle e Azevedo, João
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Periodogram \| Unit root

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005619362