Title

Local Whittle Estimation in Nonstationary and Unit Root Cases

Document Type

Discussion Paper

Publication Date

7-1-2000

CFDP Number

1266

CFDP Revision Date

2003-06-01

CFDP Pages

33

Abstract

Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d < 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 linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.

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