Unit Root Log Periodogram Regression

Peter Phillips

No 1244, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: Discrete Fourier transform; fractional Brownian motion; fractional integration; log periodogram regression; long memory parameter; nonstationarity; semiparametric estimation and testing; unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1999-12
Note: CFP 1197.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Published in Journal of Econometrics (2007), 138(1): 104-124

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