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Local Whittle Estimation in Nonstationary and Unit Root Cases

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Abstract

Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2

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File URL: http://cowles.econ.yale.edu/P/cd/d12b/d1266.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1266.

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Length: 33 pages
Date of creation: Jul 2000
Date of revision: Sep 2003
Publication status: Published in The Annals of Statistics (2004), 34(2): 656-692
Handle: RePEc:cwl:cwldpp:1266

Note: CFP 1098
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Discrete Fourier transform; fractional Brownian motion; fractional integration; long memory; nonstationarity; semiparametric estimation; trend; Whittle likelihood; unit root;

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References

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  1. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
  2. Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers 97-09, University of Iowa, Department of Economics.
  3. Velasco, Carlos, . "Gaussian Semiparametric Estimation of Non-stationary Time Series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4345, Universidad Carlos III de Madrid.
  4. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
  5. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
  6. Donald W.K. Andrews & Yixiao Sun, 2001. "Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers 1293, Cowles Foundation for Research in Economics, Yale University.
  7. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  9. Marinucci, D. & Robinson, Peter M., 2001. "Narrow-band analysis of nonstationary processes," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
  10. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
  11. Dijk, H.K. & Schotman, P., 1991. "On Bayesian routes to unit roots," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5928, Maastricht University.
  12. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
  13. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation for Research in Economics, Yale University.
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