Local Whittle estimation in nonstationary and unit root cases
统计理论
2007-06-13 v1 统计理论
摘要
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}<d\leq 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d=1, the limit distribution is mixed normal. For d>1 and when the process has a polynomial trend of order \alpha >{1/2}, the estimator is shown to be inconsistent and to converge in probability to unity.
引用
@article{arxiv.math/0406462,
title = {Local Whittle estimation in nonstationary and unit root cases},
author = {Peter C. B. Phillips and Katsumi Shimotsu},
journal= {arXiv preprint arXiv:math/0406462},
year = {2007}
}