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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| 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 |