Unit Root Log Periodogram Regression

• المؤلف الرئيسي: PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Asymptotic independence; Discrete Fourier transform; Fractional integration; Log periodogram regression; Long memory parameter; Nonstationarity; Semiparametric estimation; Unit root; Econometrics
• الوصول للمادة أونلاين: 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

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...