Title

Unit Root Log Periodogram Regression

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.

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