CFDP 1266

Local Whittle Estimation in Nonstationary and Unit Root Cases


Publication Date: July 2000

Revision Date: June 2003

Pages: 33


Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d < 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d = 1, the limit distribution is mixed normal. For d > 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.


Discrete Fourier transform, fractional Brownian motion, fractional integration, long memory, nonstationarity, semiparametric estimation, trend, Whittle likelihood, unit root

JEL Classification Codes:  C22

See CFP: 1098