Local Whittle Estimation in Nonstationary and Unit Root Cases

Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d < 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d = 1, the limit distribution is mixed normal. For d > 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.

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Year of publication:	2000-07
Authors:	Shimotsu, Katsumi ; Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Discrete Fourier transform \| fractional Brownian motion \| fractional integration \| long memory \| nonstationarity \| semiparametric estimation \| trend \| Whittle likelihood \| unit root

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1098 Published in The Annals of Statistics (2004), 34(2): 656-692 The price is None Number 1266 33 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990709