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Nonstationarity-extended Whittle estimation with discontinuity: A correction

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  • Cheung, Ying Lun

Abstract

The Whittle estimator is popular in finding the fractional integration order. The introduction of the extended periodogram allows to cover nonstationary time series. However, the objective functions of its two extended versions were found to be discontinuous at d=1∕2, resulting in a severe distortion in the empirical distribution. This letter provides a simple solution to this problem.

Suggested Citation

  • Cheung, Ying Lun, 2020. "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, vol. 187(C).
    • Handle: RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304641
    DOI: 10.1016/j.econlet.2019.108914
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    References listed on IDEAS

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    4. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    5. Carlos Velasco, 1999. "Gaussian Semiparametric Estimation of Non‐stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 87-127, January.
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    13. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
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    Cited by:

    1. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2024. "Partially one-sided semiparametric inference for trending persistent and antipersistent processes," Econometrics and Statistics, Elsevier, vol. 30(C), pages 1-14.

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    More about this item

    Keywords

    Fractional integration; Discontinuity; Test distortion;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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