Log Periodogram Regression: The Nonstationary Case

Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is consistent when (1/2) < d = 1. For d > 1, the estimator is shown to converge in probability to unity.

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Year of publication:	2006-10
Authors:	Kim, Chang Sik ; Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Discrete Fourier transform \| Fractional Brownian motion \| Fractional integration \| Inconsistency \| Log periodogram regression \| Long memory parameter \| Nonstationarity \| Semiparametric estimation

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is None Number 1587 29 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005463987