Local Whittle estimation in nonstationary and unit root cases

Details Local Whittle estimation in nonstationary and unit root cases Local Whittle estimation in nonstationary and unit root cases

2004-06-23

arxiv.org/abs/math/0406462v1

Annals of Statistics 2004, Vol. 32, No. 2, 656-692

Mathematics

Statistics Theory

Scientific paper

10.1214/009053604000000139

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 polynomial trend of order \alpha >{1/2}, the estimator is shown to be inconsistent and to converge in probability to unity.

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