Local Whittle estimation in nonstationary and unit root cases
成果类型：
Article
署名作者：
Phillips, PCB; Shimotsu, K
署名单位：
Yale University; Queens University - Canada
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
2004
页码：
656-692
关键词：
摘要：
Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d less than or equal to 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 alpha > 1/2, the estimator is shown to be inconsistent and to converge in probability to unity.