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

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...Read more...