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Nonstationarity-extended local Whittle estimation

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Author Info
Abadir, Karim M.
Distaso, Walter
Giraitis, Liudas

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4NC50V8-1/2/e115f4b903685ff74985bf584cddbf12
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 1353-1384
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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:1353-1384

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation, Yale University. [Downloadable!]
  3. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]
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