Nonstationarity-Extended Local Whittle Estimation
Nonstationarity-Extended Local Whittle Estimation
复制标题
DOI：
10.1016/j.jeconom.2007.01.020
复制
发表时间：
2006-11
期刊：
影响因子：
--
通讯作者：
K. Abadir;W. Distaso;L. Giraitis
中科院分区：
文献类型：
--
作者：
K. Abadir;W. Distaso;L. Giraitis
本文将记忆参数的经典局部 Whittle 估计过程扩展到 d∈(-32,∞) 的分数积分 I(d) 过程，涵盖平稳和非平稳区域。我们引入完全扩展的离散傅立叶变换和周期图的概念。我们研究了完全扩展的局部 Whittle (FELW) 估计器的属性，它不仅适用于传统情况，而且适用于非线性和非高斯过程。对于一类广泛的过程，我们证明了估计量是一致的，并推导了它的渐近展开式。此外，当生成过程是线性时，我们表明估计器满足与平稳情况下相同的正常 CLT。通过模拟说明了估计器的性能。
This paper extends the classical local Whittle estimation procedure of the memory parameter to fractionally integrated I(d) processes for d∈(-32,∞), covering stationary and nonstationary regions. We introduce the concepts of fully extended discrete Fourier transform and periodogram. We investigate the properties of our fully extended local Whittle (FELW) estimator, which is applicable not only for the traditional cases but also for nonlinear and non-Gaussian processes. For a wide class of processes, we show that the estimator is consistent and we derive its asymptotic expansion. In addition, when the generating process is linear, we show that the estimator satisfies the same normal CLT as in the stationary case. The performance of the estimator is illustrated by a simulation.