Nonstationarity-extended whittle estimation

Research output: Contribution to journalArticlepeer-review


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 fractional autoregressive integrated moving average models with generalized autoregressive conditional heteroskedastic-type innovations. To cover nonstationary fractionally integrated processes, we extend the idea of Abadir, Distaso, and Giraitis (2007, Journal of Econometrics 141, 1353-1384) and develop the nonstationarity-extended Whittle estimation. The resulting estimator is shown to be asymptotically normal and is more efficient than the tapered Whittle estimator. Finally, the results from a small simulation study are presented to corroborate our theoretical findings.

Original languageEnglish (US)
Pages (from-to)1060-1087
Number of pages28
JournalEconometric Theory
Issue number4
StatePublished - Aug 2010

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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