Unit Root Log Periodogram Regression

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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Year of publication:	1999-12
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Discrete Fourier transform \| fractional Brownian motion \| fractional integration \| log periodogram regression \| long memory parameter \| nonstationarity \| semiparametric estimation and testing \| unit root

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1197. Published in Journal of Econometrics (2007), 138(1): 104-124 The price is None Number 1244 22 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762562