Velasco, C and Robinson, Peter (2000) Whittle pseudo-maximum likelihood estimation for nonstationary time series. Journal of the American Statistical Association, 95 (452). 1229 - 1243. ISSN 0162-1459
Full text not available from this repository.Abstract
Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asymptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d we extend these results to include possibly nonstationary (.5 ≤ d < 1) or antipersistent (-.5 < d < 0) observations. Using adequate data tapers, we can apply this estimation technique to any degree of nonstationarity d ≥ .5 without a priori knowledge of the memory of the series. We analyze the performance of the estimates on simulated and real data.
| Item Type: | Article |
|---|---|
| Official URL: | https://amstat.tandfonline.com/toc/uasa20/current |
| Additional Information: | © 2000 American Statistical Association |
| Divisions: | LSE |
| Subjects: | H Social Sciences > HA Statistics |
| Sets: | Collections > Economists Online |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 19 May 2020 18:07 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1648 |
Actions (login required)
 |
View Item |
