Unit root log periodogram regression
By Peter C. B. Phillips. 2007
48 citations recorded by the source corpus.
Abstract Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit distribution when the memory parameter d = 1 . Gaussian errors are not required. The proof relies on a new result showing that asymptotically infinite collections of discrete Fourier transforms (dft's) of a short memory process at the fundamental frequencies in the vicinity of the origin can be treated as asymptotically independent normal variates, provided one does not include too many dft's in the collection.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/7b342dc2450643866df1c259d27bf3c657d9766f
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In Economics and Econometrics
- Sainan Jin
- Peter C. B. Phillips
- Liangjun Su
- Yixiao Sun
- Jun Yu
- Tassos Magdalinos
- Donggyu Sul
- Martin Wagner
In Finance
- Sainan Jin
- Peter C. B. Phillips
- Jun Yu
- Tassos Magdalinos
- Yixiao Sun
- Yoosoon Chang
- Qiying Wang
- Martin Wagner
In Statistics and Probability
- Sainan Jin
- Peter C. B. Phillips
- Yixiao Sun
- Ulrich K. Müller
- Xiaofeng Shao
- Tassos Magdalinos
- Ji Hyung Lee
- Timothy J. Vogelsang
Citations in the corpus
- BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER (2020, methodology): “On the other hand, if μKn → ∞ in (43), we have λ(2)k μKn+λ 2 k < 1 1+μKn → 0 uniformly in k ≥ 1, and”