 Narrow-band analysis of nonstationary processesD Marinucci and Peter Robinson LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library Abstract: The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two nonstationary processes of possibly different orders, or a nonstationary and an asymptotically stationary one. The averaging takes place either over the whole frequency band, or over one that degenerates slowly to zero frequency as sample size increases. In some cases it is found to make no asymptotic difference, and in particular we indicate how the behaviour of the mean and variance changes across the two-dimensional space of integration orders. The results employ only local-to-zero assumptions on the spectra of the underlying weakly stationary sequences. It is shown how the results can be applied in fractional cointegration with unknown integration orders. Keywords: Nonstationary processes; long-range dependence; least squares estimation; narrow-band estimation; cointegration analysis. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2015 Access Statistics for this paper More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC. |
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