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

R. Lacroix

Working papers from Banque de France

Abstract: It is well-known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies. In particular, we investigate the power properties of the tests from both theoretical and empirical approach.

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: 32 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:71

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