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 School of Economics and Political Science, London, UK.
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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)|
|Additional Information:||© 2000 the authors|
|Uncontrolled Keywords:||Long-range dependence; nonstationary long memory time series; nonstationary fractional models; frequency domain estimation; tapering|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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