Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.)
Universidad Carlos III de Madrid - Department of Economics
LSE STICERD Research Paper No. EM391
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 d = 0.5 without prior knowledge of the memory of the series. We analyse the performance of the estimates on simulated and real data.
Number of Pages in PDF File: 35
JEL Classification: C13, C14working papers series
Date posted: July 21, 2008
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