Document Type
Discussion Paper
Publication Date
12-1-1999
CFDP Number
1244
CFDP Pages
22
Abstract
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. Tests of d = 1 based on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A test based on a modified LP regression that is consistent in both directions is provided.
Recommended Citation
Phillips, Peter C.B., "Unit Root Log Periodogram Regression" (1999). Cowles Foundation Discussion Papers. 1494.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1494