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Unit Root Log Periodogram Regression, Peter C.B. Phillips
Unit Root Log Periodogram Regression, Peter C.B. Phillips
Cowles Foundation Discussion Papers
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. Tests of d = 1 based on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A test based on a modiļ¬ed LP regression that is consistent in both directions is provided.