Log Periodogram Regression: The Nonstationary Case
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More about this item
Keywords
Discrete Fourier transform; Fractional Brownian motion; Fractional integration; Inconsistency; Log periodogram regression; Long memory parameter; Nonstationarity; Semiparametric estimation;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-10-28 (Econometrics)
- NEP-ETS-2006-10-28 (Econometric Time Series)
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