Autori
Marinucci, Domenico
Robinson, P. M.

Titolo
Narrow-band analysis of nonstationary processes
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di Studi Geoeconomici, Linguistici, Statistici e Storici per l'Analisi regionale. Working papers
Anno: 1999 - Fascicolo: 10 - Pagina iniziale: 1 - Pagina finale: 53

The bahaviour 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, and 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 on one that degenerates slowly to zero frequency as sample size increases. In some cases it is found to make no asymptotic difference, 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 readily applied in case of fractional cointegration with unknown integration orders




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