Unit root log periodogram regression

DOI10.1016/J.JECONOM.2006.05.017MaRDI QIDQ277158zbMATH OpenOpenAlexFDO

Authors 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

semiparametric estimationnonstationarityasymptotic independencefractional integrationdiscrete Fourier transformunit rootlog 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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• Non-stationary log-periodogram regression

Cites work

• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• An approximation of partial sums of independent RV's, and the sample DF. II
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotics for linear processes
• Central limit theorems for time series regression
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Discrimination between monotonic trends and long-range dependence
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Efficient Tests of Nonstationary Hypotheses
• Exact local Whittle estimation of fractional integration
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Limit theory for moderate deviations from a unit root
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Long memory processes and fractional integration in econometrics
• Multidimensional version of the results of Komlos, Major and Tusnady for vectors with finite exponential moments
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Non-stationary log-periodogram regression
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• The approximation of partial sums of independent RV's
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• The periodogram of an i.i.d. sequence.
• Towards a unified asymptotic theory for autoregression
• Uniform Limit Theory for Stationary Autoregression

Cited in

(23)

• Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Bootstrap tests for fractional integration and cointegration: a comparison study
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Modified information criteria and selection of long memory time series models
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Nonlinear models for strongly dependent processes with financial applications
• Optimal estimation of cointegrated systems with irrelevant instruments
• Nonparametric predictive regression
• Strong invariance principles for dependent random variables
• A unified theory for ARMA models with varying coefficients: one solution fits all
• On convergence to stochastic integrals
• Unit roots: periodogram ordinate
• Bootstrapping I(1) data
• On the performance of the variance ratio unit root tests with flexible Fourier form
• Time Series Regression with a Unit Root
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• On the estimation of short memory components in long memory time series models
• Statistical tests for a single change in mean against long-range dependence
• Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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