Local Whittle Estimation in Nonstationary and Unit Root Cases

Abstract

Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.Discrete Fourier transform, fractional Brownian motion, fractional integration, long memory, nonstationarity, semiparametric estimation, trend, Whittle likelihood, unit root