Faculty of Economics and Business Administration Publications Database

The Periodogram Regression: Correction and Comments

Volume: 24
Number: 12
Pages: 3137 - 3146
Year: 1995
Keywords: Fractionally integrated time series; Distribution of the periodogram
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.