Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of Econometrics 185 (2015) 1, pp. 124-161
It is well known that the discrete Fourier transforms (DFTs) of a second order stationary time series between two distinct Fourier frequencies are asymptotically uncorrelated. In contrast for a large class of second order nonstationary time series, including locally stationary time series, this...