Whittle pseudo-maximum likelihood estimation for nonstationary time series

Peter M. Robinson and Carlos Velasco

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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; tapering; frequency domain estimation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2000-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (122)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2273

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