Whittle pseudo-maximum likelihood estimation for nonstationary time series

Robinson, P. M. & Velasco, C. (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.
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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 Working paper
Copyright holders © 2000 The Authors
Departments LSE > Academic Departments > Economics
LSE > Research Centres > STICERD
Date Deposited 27 Apr 2007
URI https://researchonline.lse.ac.uk/id/eprint/2273

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