Log Periodogram Regression: The Nonstationary Case
SSRN Electronic JournalPublished 1 October 2006Open access
Chang Sik Kim, Peter C.B. Phillips
Citations17
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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 1, the estimator is shown to converge in probability to unity.
Keywords
MathematicsEconomics, Econometrics and Finance
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