Asymptotic properties of the local Whittle estimator in the nonstationary case (d>½) are explored. For ½1 and when the process has a polynomial trend of order α>½, the estimator is shown to be inconsistent and to converge in probability to unity.
Publié le : 2004-04-14
Classification:
Discrete Fourier transform,
fractional integration,
long memory,
nonstationarity,
semiparametric estimation,
trend,
Whittle likelihood,
unit root,
62M10
@article{1083178942,
author = {Phillips, Peter C. B. and Shimotsu, Katsumi},
title = {Local Whittle estimation in nonstationary and unit root cases},
journal = {Ann. Statist.},
volume = {32},
number = {1},
year = {2004},
pages = { 656-692},
language = {en},
url = {http://dml.mathdoc.fr/item/1083178942}
}
Phillips, Peter C. B.; Shimotsu, Katsumi. Local Whittle estimation in nonstationary and unit root cases. Ann. Statist., Tome 32 (2004) no. 1, pp. 656-692. http://gdmltest.u-ga.fr/item/1083178942/