Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)

Peter M. Robinson and Carlos Velasco ()

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (0.5 = d < 1) or antipersistent (-0.5 < d < 0) observations. Using adequate data tapers we can apply this estimation technique to any degree of nonstationarity d = 0.5 without prior knowledge of the memory of the series. We analyse the performance of the estimates on simulated and real data.

Keywords: Long-range dependence; nonstationary long memory time series; nonstationary fractional models; frequency domain estimation; tapering. (search for similar items in EconPapers)
Date: 2000-05
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2000/391

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