Nonstationarity-extended Whittle estimation with discontinuity: A correction

Ying Lun Cheung

Economics Letters, 2020, vol. 187, issue C

Abstract: The Whittle estimator is popular in finding the fractional integration order. The introduction of the extended periodogram allows to cover nonstationary time series. However, the objective functions of its two extended versions were found to be discontinuous at d=1∕2, resulting in a severe distortion in the empirical distribution. This letter provides a simple solution to this problem.

Keywords: Fractional integration; Discontinuity; Test distortion (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304641

DOI: 10.1016/j.econlet.2019.108914

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