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Abstract:

Econometrics Paper
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)
Peter M Robinson and Carlos Velasco May 2000
Paper No' EM/2000/391:
Full Paper (pdf)

Tags: long-range dependence; nonstationary long memory time series; nonstationary fractional models; frequency domain estimation; tapering.

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly nonstationary (0.5 = d < 1) or antipersistent (-0.5 < d < 0) observations. Using adequate data tapers we can apply this estimation technique to any degree of nonstationarity d = 0.5 without prior knowledge of the memory of the series. We analyse the performance of the estimates on simulated and real data.