Unit root log periodogram regression
Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d = 1. Gaussian errors are not required. Tests of d = 1 based on LP regression are consistent against d 1 alternatives. A test based on a modified LP regression that is consistent in both directions is provided.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carlos Velasco, 2003. "Gaussian Semi-parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, 05.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
- 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.
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002.
"Band Spectral Regression with Trending Data,"
Econometric Society, vol. 70(3), pages 1067-1109, May.
- 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.
- Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997. "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers 1163, Cowles Foundation for Research in Economics, Yale University.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Pooled Log Periodogram Regression," Cowles Foundation Discussion Papers 1267, Cowles Foundation for Research in Economics, Yale University.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:138:y:2007:i:1:p:104-124. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.