Peter C.B. Phillips, Katsumi Shimotsu
Abstract
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Asymptotic properties of the local Whittle estimator in the nonstationary case (d>½) are explored. For ½ 1 and when the process has a polynomial trend of order α>½, the estimator is shown to be inconsistent and to converge in probability to unity.
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Asymptotic properties of the local Whittle estimator in the nonstationary case (d>½) are explored. For ½ 1 and when the process has a polynomial trend of order α>½, the estimator is shown to be inconsistent and to converge in probability to unity.
Key concepts: Mathematics, Estimator, Unit root, Rate of convergence, Applied mathematics, Asymptotic distribution, Limit (mathematics), Distribution (mathematics)