Marinucci, D and Robinson, Peter M. (2000) The averaged periodogram for nonstationary vector time series. Econometrics; EM/2000/408 (EM/00/408). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
Frequency domain statistics are studied in the presence of fractional deterministic and stochastic trends. It is shown how the behaviour of the sample variance-covariance matrix of nonstationary processes can be dominated by components corresponding to a possibly degenerating band around zero frequency. This property is used to establish the limiting distribution of the averaged periodogram matrix, of memory estimates for nonstationary series, and for frequency domain regression estimates under nonstandard conditions.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2000 the authors |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 11 Dec 2024 18:27 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2294 |
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