Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II.
It is well-known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests exploit the asymptotic behavior of the periodigram for some well-chosen sequence of frequencies. In particular, we investigate the power properties of the tests from both theoretical and empirical approach.
Stationarity ; Spectral density ; Moving average unit root ; Non parametric tests.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.