CFDP 1244

Unit Root Log Periodogram Regression

Publication Date: December 1999

Pages: 22

Abstract: 

Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d = 1. Gaussian errors are not required. Tests of d = 1 based on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A test based on a modified LP regression that is consistent in both directions is provided.

Keywords: 

Discrete Fourier transform, fractional Brownian motion, fractional integration, log periodogram regression, long memory parameter, nonstationarity, semiparametric estimation and testing, unit root

See CFP: 1197