Nonstationarity-Extended Local Whittle Estimation

48 Pages Posted: 14 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Walter Distaso

Imperial College Business School

Liudas Giraitis

University of York - Department of Mathematics and Economics

Date Written: November 9, 2006

Abstract

This paper extends the classical local Whittle estimation procedure of the memory parameter to fractionally-integrated I(d) processes for dāˆˆ(-3/2,āˆž), covering stationary and nonstationary regions. We introduce the concepts of fully-extended discrete Fourier transform and periodogram. We investigate the properties of our Fully-Extended Local Whittle (FELW) estimator, which is applicable not only for the traditional cases but also for nonlinear and non-Gaussian processes. For a wide class of processes, we show that the estimator is consistent and we derive its asymptotic expansion. In addition, when the generating process is linear, we show that the estimator satisfies the same normal CLT as in the stationary case. The performance of the estimator is illustrated by a simulation.

Suggested Citation

Abadir, Karim M. and Distaso, Walter and Giraitis, Liudas, Nonstationarity-Extended Local Whittle Estimation (November 9, 2006). Journal of Econometrics, Vol. 141, No. 2, p. 1353, December 2007. Available at SSRN: https://ssrn.com/abstract=1984846

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

Walter Distaso

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

Liudas Giraitis

University of York - Department of Mathematics and Economics ( email )

Heslington, York YO10 5DD
United Kingdom

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