Publication Type
Journal Article
Publication Date
5-2007
Abstract
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. The proof relies on a new result showing that asymptotically infinite collections of discrete Fourier transforms (dft's) of a short memory process at the fundamental frequencies in the vicinity of the origin can be treated as asymptotically independent normal variates, provided one does not include too many dft's in the collection.
Keywords
Asymptotic independence, Discrete Fourier transform, Fractional integration, Log periodogram regression, Long memory parameter, Nonstationarity, Semiparametric estimation, Unit root
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
138
Issue
1
First Page
104
Last Page
124
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2006.05.017
Publisher
Elsevier
Citation
PHILLIPS, Peter C. B..
Unit Root Log Periodogram Regression. (2007). Journal of Econometrics. 138, (1), 104-124. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/283
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Additional URL
https://doi.org/10.1016/j.jeconom.2006.05.017