Title

Log Periodogram Regression: The Nonstationary Case

Document Type

Discussion Paper

Publication Date

10-1-2006

CFDP Number

1587

CFDP Pages

29

Abstract

Estimation of the memory parameter ( d ) is considered for models of nonstationary fractionally integrated time series with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is consistent when (1/2) < d = 1. For d > 1, the estimator is shown to converge in probability to unity.

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