Robinson, Peter M. and Velasco, Carlos (2000) Whittle pseudo-maximum likelihood estimation for nonstationary time series. Econometrics; EM/2000/391 (EM/00/391). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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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 < 1) or antipersistent (-0.5 < d < 0) observations. Using adequate data tapers we can apply this estimation technique to any degree of nonstationarity We analyse the performance of the estimates on simulated and real data.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk/_new/publications/series.... |
| Additional Information: | © 2000 The Authors |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 23 Oct 2025 02:48 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2273 |
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