Local Whittle Estimation in Nonstationary and Unit Root Cases
CFDP Revision Date
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.
Shimotsu, Katsumi and Phillips, Peter C.B., "Local Whittle Estimation in Nonstationary and Unit Root Cases" (2000). Cowles Foundation Discussion Papers. 1517.