Local Whittle Estimation in Nonstationary and Unit Root Cases
Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.
|Date of creation:||Jul 2000|
|Date of revision:||Sep 2003|
|Publication status:||Published in The Annals of Statistics (2004), 34(2): 656-692|
|Contact details of provider:|| Postal: |
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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.:
- 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.
- 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.
- Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997.
"Band Spectral Regression with Trending Data,"
97-09, University of Iowa, Department of Economics.
- D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
- D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series 421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- repec:cep:stiecm:/2001/421 is not listed on IDEAS
- Phillips, Peter C.B., 2007.
"Unit root log periodogram regression,"
Journal of Econometrics,
Elsevier, vol. 138(1), pages 104-124, May.
- 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..
- Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
- 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, 2002.
"Exact Local Whittle Estimation of Fractional Integration,"
Economics Discussion Papers
535, University of Essex, Department of Economics.
- Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers 1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
- 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.
- 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.
- D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
- Carlos Velasco, 2003. "Gaussian Semi-parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, 05.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1266. 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: (Glena Ames)
If references are entirely missing, you can add them using this form.