Exact Limit of the Expected Periodogram in the Unit-Root Case

João Valle e Azevedo

MPRA Paper from University Library of Munich, Germany

Abstract: We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be time-independent, thus sharing a fundamental property with the stationary case equivalent. We discuss the consequences of this result to the frequency domain interpretation of filtered integrated time series.

Keywords: Periodogram; Unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2007-09-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/6553/1/MPRA_paper_6553.pdf original version (application/pdf)

Related works:
Working Paper: Exact Limit of the Expected Periodogram in the Unit-Root case (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:6553

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter (winter@lmu.de).