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

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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Citations: View citations in EconPapers (88)

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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:391

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