Periodograms of unit root time series: Distributions and tests

AKDİ Y., Dickey D.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, cilt.27, sa.1, ss.69-87, 1998 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 27 Sayı: 1
  • Basım Tarihi: 1998
  • Doi Numarası: 10.1080/03610929808832651
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.69-87
  • Anahtar Kelimeler: frequency, integration
  • Ankara Üniversitesi Adresli: Hayır

Özet

Periodograms are often used to characterize time series. They decompose the variation in the data into periodic components and their statistical properties for stationary series are well understood. The periodogram can be computed for any sequence of numbers and we are interested in studying its statistical properties when the underlying data have a time series structure with a unit root. Knowing these properties gives us the ability to look at nonstationarity on a frequency by frequency basis.