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Activity Number: 275
Type: Topic Contributed
Date/Time: Tuesday, July 31, 2007 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #309185
Title: Local Whittle Estimation of Fractional Integration for Nonlinear Processes
Author(s): Xiaofeng Shao*+ and Wei Biao Wu
Companies: University of Illinois and The University of Chicago
Address: Department of Statistics, Champaign, IL, 61820,
Keywords: Local Whittle estimation ; Long memory ; Nonlinear time series ; Spectral analysis
Abstract:

We study asymptotic properties of the local Whittle estimator of the long memory parameter for a wide class of fractionally integrated nonlinear time series models. The formulation allows the widely used FARIMA models with GARCH innovations of various forms and our asymptotic results provide a theoretical justification of the findings in simulations that the local Whittle estimator is robust to conditional heteroskedasticity. Additionally, our conditions are easily verifiable and are satisfied for many nonlinear time series models.

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Revised September, 2007