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 School of Economics and Political Science, London, UK.
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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)|
|Additional Information:||© 2000 the authors|
|Uncontrolled Keywords:||Averaged periodogram; nonstationary processes; fractional Brownian motion|
|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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