Nonstationarity-extended local Whittle estimation

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 1353-1384

  Abadir, Karim M ^a   Distaso, Walter ^a   Giraitis, Liudas ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Fractional integration; Fully extended local Whittle (FELW) estimator; Memory parameter; Nonlinear processes

Indexed keywords

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; DISCRETE FOURIER TRANSFORMS; GAUSSIAN DISTRIBUTION; NONLINEAR SYSTEMS;

FRACTIONAL INTEGRATION; FULLY EXTENDED LOCAL WHITTLE (FELW) ESTIMATOR; MEMORY PARAMETERS; NONLINEAR PROCESSES;

PARAMETER ESTIMATION;

EID: 34848835439     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.01.020     Document Type: Article

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