Unit Root Log Periodogram Regression

Unit Root Log Periodogram Regression

Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d=1. Gaussian errors are not required. The proof relies on a new result showing that asymptotically infinite collections of discrete Fourier transforms (dft's) of a...

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Bibliographic Details
Main Author: PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Asymptotic independence
Discrete Fourier transform
Fractional integration
Log periodogram regression
Long memory parameter
Nonstationarity
Semiparametric estimation
Unit root
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/283
https://ink.library.smu.edu.sg/context/soe_research/article/1282/viewcontent/Unit_Root_Log_Periodogram_2007.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/283
https://ink.library.smu.edu.sg/context/soe_research/article/1282/viewcontent/Unit_Root_Log_Periodogram_2007.pdf

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