Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I.

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non parametric tests of this hypothesis, which exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies.

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Year of publication:	1999
Authors:	Lacroix, R.
Institutions:	Banque de France
Subject:	Stationarity \| Spectral density \| Moving average unit root \| Non parametric tests

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Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	51 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036171