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

R. Lacroix

Working papers from Banque de France

Abstract: 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.

Keywords: Stationarity; Spectral density; Moving average unit root; Non parametric tests (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 51 pages
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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