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Whittle pseudo-maximum likelihood estimation for nonstationary time series

By Peter M. Robinson and Carlos Velasco

Abstract

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (0.5 d < 1) or antipersistent (-0.5 < d < 0) observations. Using adequate data tapers we can apply this estimation technique to any degree of nonstationarity We analyse the performance of the estimates on simulated and real data

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 2000
OAI identifier: oai:eprints.lse.ac.uk:2273
Provided by: LSE Research Online

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