Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now Published in Journal of the American Statistical Association, 95, (2000), Pp.1229-1243.)
35 Pages Posted: 21 Jul 2008
Date Written: May 2000
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.
JEL Classification: C13, C14
Suggested Citation: Suggested Citation