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

João Valle e Azevedo

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be independent of time, 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.

JEL-codes: C22 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Working Paper: Exact Limit of the Expected Periodogram in the Unit-Root Case (2007)
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