Marinucci, D and Robinson, Peter (2001) Narrow-band analysis of nonstationary processes. Econometrics; EM/2001/421, EM/01/421. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2001 the authors|
|Uncontrolled Keywords:||Nonstationary processes; long-range dependence; least squares estimation; narrow-band estimation; cointegration analysis.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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