文章基本信息

标题：Narrow-Band Analysis of Nonstationary Processes
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作者：D Marinucci ; Peter M Robinson
期刊名称：Japanese Studies Programme Papers
出版年度：2001
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：The behaviour 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. 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 over one that degenerates slowly to zero frequency as sample size increases. In some cases it is found to make no asymptotic difference, and in particular we indicate how the behaviour of the mean 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 applied in fractional cointegration with unknown integration orders
关键词：Nonstationary processes; long-range dependence; least squares ;estimation; narrow-band estimation; cointegration analysis