Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

By Carlos Velasco, Peter M. Robinson. 2000

230 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1238b766f6cb09a7578d763954d85d7140e45bde

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Citations in the corpus

Efficient Wald Tests for Fractional Unit Roots (2007, background): “…= d for any estimator of d that is consistent at a power rate, so that not only parametric p T -consistent estimators of d as proposed by DGM (e.g. Velasco and Robinson, 2000) are allowed but also many semiparametric estimators for an appropriate choice of the bandwidth parameter can be employed,…”
On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter (2005, methodology): “Frequency-domain techniques are now well documented and understood (see for instance Hurvich and Ray (1995), Velasco (1999), Velasco and Robinson (2000) and Hurvich et al. (2002)).”
Gaussian pseudo-maximum likelihood estimation of fractional time series models (2011, methodology): “” Another popular one (“Type I”) was used by [25] for an alternate type of estimate.”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, unknown): “…uniformity of convergence of the objective function around admissible values 0.5 less than the true value of the integration order, as discussed by Velasco and Robinson (2000), who by means of tapering, and a different definition of fractional nonstationarity from ours, established √ n-consistent…”
The distance between rival nonstationary fractional processes (2004, methodology): “Section 3 applies our results to show that tapered Whittle estimates for parametric nonstationary Type I models investigated by Velasco and Robinson (2000) can have the same limit distribution in the Type II case.”
A model of fractional cointegration, and tests for cointegration using the bootstrap☆ (2002, methodology): “In recent work, Velasco and Robinson (2000) report that both nonstationarity and deterministic components can be allowed for in Whittle estimation by suitable trimming of the periodogram, and this approach should be considered for future work.”
A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES (2008, background): “See Velasco and Robinson (2000) for the case d ∈ (−1/2,0).”
Efficiency improvements in inference on stationary and nonstationary fractional time series (2004, methodology): “Velasco and Robinson’s [29] estimate of σ2 0 should satisfy the final part of Assumption A7 [with (a) sufficient within Assumption A2].”
Local Polynomial Whittle Estimation of Long-range Dependence (2001, background): “Suppose one has a preliminary consistent estimator of d0 for d0 in this range, such as the estimator of Velasco (1999), Velasco and Robinson (2000), or Shimotsu and Phillips (2002).”
Estimators of Long-Memory: Fourier versus Wavelets (2008, methodology): “l be seen later in a special case in the context of long memory semi-parametric estimation (see section 8). The idea of applying taper directly to the observations Xwas proposed by Velasco (1999a,b); Velasco and Robinson (2000), who considered several tapering schemes such as the cosine bell and the”
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence (2007, methodology): “MR0009291 [19] Marinucci, D. and Robinson, P. M. (1999).”
Cointegration in Fractional Systems with Unknown Integration Orders (2003, methodology): “For each model we applied the univariate Whittle procedure in Velasco and Robinson (2000), using untapered, differenced data and adding back 1.”
A Fractional Dickey–Fuller Test for Unit Roots (2002, background): “Proof of Theorem 7: The following proof is similar to the one proposed by Said and Dickey (1984) and Xiao and Phillips (1998) in the context of the AD-F test.”
Estimating Fractional Cointegration in the Presence of Polynomial Trends (2003, unknown): “Another way of handling deterministic trends in an undi'erenced series would be to use Kolmogorov–Zhurbenko tapers on a restricted grid of Fourier frequencies, as was done in Velasco (1999a, b), Lobato and Velasco (2000), and in Velasco and Robinson (2000).”