Local Whittle estimation in nonstationary and unit root cases
Top Cited Papers
Open Access
- 1 April 2004
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 32 (2), 656-692
- https://doi.org/10.1214/009053604000000139
Abstract
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 polynomial trend of order \alpha >{1/2}, the estimator is shown to be inconsistent and to converge in probability to unity.Keywords
Other Versions
This publication has 10 references indexed in Scilit:
- Band Spectral Regression with Trending DataEconometrica, 2002
- Gaussian estimation of parametric spectral density with unknown poleThe Annals of Statistics, 2001
- Weak convergence of multivariate fractional processesStochastic Processes and their Applications, 2000
- An Efficient Taper for Potentially Overdifferenced Long‐memory Time SeriesJournal of Time Series Analysis, 2000
- Gaussian Semiparametric Estimation of Non‐stationary Time SeriesJournal of Time Series Analysis, 1999
- Gaussian Semiparametric Estimation of Long Range DependenceThe Annals of Statistics, 1995
- On Bayesian routes to unit rootsJournal of Applied Econometrics, 1991
- ON GENERALIZED FRACTIONAL PROCESSESJournal of Time Series Analysis, 1989
- Statistical aspects of self-similar processesPublished by Walter de Gruyter GmbH ,1987
- Trends and random walks in macroeconmic time series: Some evidence and implicationsJournal of Monetary Economics, 1982