Local Whittle Estimation in Nonstationary and Unit Root Cases

Katsumi Shimotsu and Peter Phillips

No 1266, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.

Keywords: Discrete Fourier transform; fractional Brownian motion; fractional integration; long memory; nonstationarity; semiparametric estimation; trend; Whittle likelihood; unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2000-07, Revised 2003-09
Note: CFP 1098
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Published in The Annals of Statistics (2004), 34(2): 656-692

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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1266

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