Narrow search
Showing 1 - 10 of 149
Cover Image
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
Shimotsu, Katsumi; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000
Semiparametric estimation of the memory parameter is studied in models of fractional integration in the nonstationary case, and some new representation theory for the discrete Fourier transform of a fractional process is used to assist in the analysis. A limit theory is developed for an...
Persistent link: https://www.econbiz.de/10005087395
Cover Image
Exact Local Whittle Estimation of Fractional Integration
Shimotsu, Katsumi; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have...
Persistent link: https://www.econbiz.de/10005593209
Cover Image
Local Whittle Estimation in Nonstationary and Unit Root Cases
Shimotsu, Katsumi; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000
, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d …
Persistent link: https://www.econbiz.de/10004990709
Cover Image
Discrete Fourier Transforms of Fractional Processes
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999
Discrete Fourier transforms (dft's) of fractional processes are studied and an exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the...
Persistent link: https://www.econbiz.de/10005762506
Cover Image
Unit Root Log Periodogram Regression
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999
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...</1>
Persistent link: https://www.econbiz.de/10005762562
Cover Image
Log Periodogram Regression: The Nonstationary Case
Kim, Chang Sik; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006
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.
Persistent link: https://www.econbiz.de/10005463987
Cover Image
Nonlinearity and Temporal Dependence
Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2008
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...
Persistent link: https://www.econbiz.de/10005087377
Cover Image
Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001
analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this …, the rate of convergence of the LPW estimator is faster than that of the local Whittle estimator, given an appropriate … choice of the bandwidth m. We show that the LPW estimator attains the optimal rate of convergence for a class of spectra …
Persistent link: https://www.econbiz.de/10005087380
Cover Image
Nonlinearity and Temporal Dependence
Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2009
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay...
Persistent link: https://www.econbiz.de/10008533975
Cover Image
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2006
It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...
Persistent link: https://www.econbiz.de/10005463872