Faculty of Economics and Business Administration Publications Database

Nonstationarity-extended Whittle estimation with discontinuity: A correction

Cheung, Ying Lun
Volume: 187
Month: February
ISSN-Print: 0165-1765
Link External Source: Online Version
Year: 2020
Keywords: Fractional integration; Discontinuity; Test distortion

The Whittle estimator is popular in finding the fractional integration order. The introduction of the extended periodogram allows to cover nonstationary time series. However, the objective functions of its two extended versions were found to be discontinuous at d=1/2, resulting in a severe distortion in the empirical distribution. This letter provides a simple solution to this problem.