Log Periodogram Regression: The Nonstationary Case

Chang Sik Kim and Peter Phillips

No 1587, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, 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 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)
Pages: 29 pages
Date: 2006-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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