Log Periodogram Regression: The Nonstationary Case

Chang Sik Kim and Peter C. B. Phillips ()
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Chang Sik Kim: Dept. of Economics, Ewha Women's University

No 1587, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is consistent when (1/2) < d = 1. For d > 1, the estimator is shown to converge in probability to unity.

Keywords: Discrete Fourier transform; Fractional Brownian motion; Fractional integration; Inconsistency; Log periodogram regression; Long memory parameter; Nonstationarity; Semiparametric estimation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006-10
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