Unit root log periodogram regression

DOI10.1016/j.jeconom.2006.05.017zbMath1418.62346OpenAlexW2055601780MaRDI QIDQ277158

Peter C. B. Phillips

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/283

zbMATH Keywords

discrete Fourier transformunit rootsemiparametric estimationfractional integrationasymptotic independencenonstationaritylog periodogram regressionlong memory parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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