Unit root log periodogram regression

Journal of Econometrics

Volumn 138, Issue 1, 2007, Pages 104-124

  Phillips, Peter C B ^a,b,c  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF YORK   (United Kingdom)

^c UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Asymptotic independence; Discrete Fourier transform; Fractional integration; Log periodogram regression; Long memory parameter; Nonstationarity; Semiparametric estimation; Unit root

Indexed keywords

ASYMPTOTIC ANALYSIS; DISCRETE FOURIER TRANSFORMS; ERROR ANALYSIS; GAUSSIAN DISTRIBUTION; REGRESSION ANALYSIS;

ASYMPTOTIC INDEPENDENCE; FRACTIONAL INTEGRATION; LOG PERIODOGRAM REGRESSION; LONG MEMORY PARAMETERS; NONSTATIONARITY; SEMIPARAMETRIC ESTIMATION; UNIT ROOT;

ECONOMIC ANALYSIS;

EID: 33947401415     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.05.017     Document Type: Article

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