NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION
نویسندگان
چکیده
منابع مشابه
Nonstationarity-extended Whittle Estimation
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework includes the widely used FARIMA models with GARCH-type innovations. To cover nonstationary fractionally integrated processes, we extend the idea of Abadir, Distaso and Giraitis (2007, Journal of Econometrics 141, 13531384)...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2009
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466609990466