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Exact Limit of the Expected Periodogram in the Unit-Root case
2007
Authors
Publication Year
2007
JEL Code
C22 - Time-Series Models
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.
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