Local Whittle estimation in nonstationary and unit root cases

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dc.creatorPhillips, Peter C. B.
dc.creatorShimotsu, Katsumi
dc.date2004-06-23
dc.date.accessioned2026-07-07T08:06:21Z
dc.date.available2026-07-07T08:06:21Z
dc.descriptionAsymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}<d\leq 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d=1, the limit distribution is mixed normal. For d>1 and when the process has a polynomial trend of order α>{1/2}, the estimator is shown to be inconsistent and to converge in probability to unity.
dc.identifierhttps://arxiv.org/abs/math/0406462
dc.identifierhttp://arxiv.org/abs/math/0406462
dc.identifierAnnals of Statistics 2004, Vol. 32, No. 2, 656-692
dc.identifierdoi:10.1214/009053604000000139
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130574
dc.subjectStatistics Theory
dc.subject62M10. (Primary)
dc.titleLocal Whittle estimation in nonstationary and unit root cases
dc.typetext

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