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Nonstationarity-extended local Whittle estimation

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  • Abadir, Karim M.
  • Distaso, Walter
  • Giraitis, Liudas

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  • Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
  • Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:1353-1384
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    References listed on IDEAS

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    1. Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002. "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, vol. 70(3), pages 1067-1109, May.
    2. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
    3. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    4. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
    5. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 211-251, March.
    6. Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, March.
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