CFDP 1244
Unit Root Log Periodogram Regression
Author(s):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