The periodogram regression:correction and comments |
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| Authors: | Uwe Hassler |
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| Affiliation: | Free University of Berlin , Institute of Statistics and Econometrics , Boltzmannstr. 20, Berlin, 14195 |
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| Abstract: | Ratios of periodogram and spectral density at different harmonic frequencies are independent if the frequency zero is approached slowly enough. This is an asymptotically relevant condition for the periodogram regression to work with fractionally integrated series. In finite samples, however, this theoretical condition should be ignored as we illustrate experimentally. |
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| Keywords: | Fractionally integrated time series distribution of the periodogram |
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