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.
|Date of creation:||Dec 1999|
|Publication status:||Published in Journal of Econometrics (2007), 138(1): 104-124|
|Contact details of provider:|| Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
References listed on IDEAS
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- Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002.
"Band Spectral Regression with Trending Data,"
Econometric Society, vol. 70(3), pages 1067-1109, May.
- 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.
- 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.
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, 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.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Velasco, Carlos, 1998. "Non-stationary log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4554, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, 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.
- 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 257-287, August.
- Carlos Velasco, 2003. "Gaussian Semi-parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, 05. Full references (including those not matched with items on IDEAS)
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