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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Valle e Azevedo, João (2007): Exact Limit of the Expected Periodogram in the Unit-Root Case.
Classification:	C22 - Time-Series Models
Source:	BASE

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