2:55 p.m.
Hi, everybody;
LW and GPH estimators are consistent for d=<1 and asymptotically normal for d<0.75
(see Velasco, 1999a, 1999b, Phillips and Shimotsu, 2004 and Phillips, 2007), but LW is
more efficient. Besides, the asymptotic variance depends on the bandwidth (and,
normally, the bigger the sample size the bigger the bandwidth). If you want to test the
hypothesis of unit root you should apply the test on the first differences of the series
and test if the memory parameter is equal zero. If you don't reject that hypothesis,
the series seems to have a unit root. To avoid differenciation, there are other
posibilities: tapering (Velasco, 1999a, 1999b), ELW of Shimotsu and Phillips
(2005), non-local estimators (Abadir et Al., 2007), etc.
Cheers
Javi
References:
Velasco, C., 1999a. Gaussian semiparametric estimation of non-stationary time series. J.
Time Ser. Anal. 20, 87-127.
Velasco, C., 1999b. ‘Non-Stationary Log-Periodogram Regression’, Journal of Econometrics,
91, 325-371
Phillips, P.C.B., Shimotsu, K. (2004). Local Whittle estimation in nonstationary and unit
root cases. Ann. Stat. 32, 656-692.
PHILLIPS, P.C.B. (2007): Unit root log periodogram regression. Journal of Econometrics
138(1), 104-124.
ABADIR, K.M., DISTASO, W. and GIRAITIS, L. (2007): Nonstationary-extended local Whittle
estimation. Journal of Econometrics 141, 1353-1384.
SHIMOTSU, K. and PHILLIPS, P.C.B (2005): Exact local Whittle estimation of fractional
integration. The Annals of Statistics 33(4), 1890-1933.
10:46 a.m.
New subject: Tests menu and model window
Dear list-members,
I really like the feature of gretl that reports the results of the
different tests in the model window after using any of the Tests menu items.
I really miss that Tests/Collinearity doesn't do that. I understand that
this menu item is not a test with p-values in that sense, but maybe the
highest VIF value and the variable involved could be highlighted in the
model window.
Any suggestions?
Daniel
9:58 a.m.
New subject: LW estimator and the GPH test
Hi,
just wanted to say, although normally I'm not a very big fan of
discussing general econometrics questions unrelated to gretl on this
list, I found the quality of Javier's post impressive. Clear, concise,
and even comes with a list of references, wow!
¡Vaya campeón!
cheers,
sven
Am 10.08.2010 16:55, schrieb Javier García:
Hi, everybody;
LW and GPH estimators are consistent for d=<1 and asymptotically
normal for d<0.75 (see Velasco, 1999a, 1999b, Phillips and Shimotsu,
2004 and Phillips, 2007), but LW is more efficient. Besides, the
asymptotic variance depends on the bandwidth (and, normally, the
bigger the sample size the bigger the bandwidth). If you want to test
the hypothesis of unit root you should apply the test on the first
differences of the series and test if the memory parameter is equal
zero. If you don't reject that hypothesis, the series seems to have a
unit root. To avoid differenciation, there are other posibilities:
tapering (Velasco, 1999a, 1999b), ELW of Shimotsu and Phillips
(2005), non-local estimators (Abadir et Al., 2007), etc.
Cheers Javi
References:
Velasco, C., 1999a. Gaussian semiparametric estimation of
non-stationary time series. J. Time Ser. Anal. 20, 87-127. Velasco,
C., 1999b. ‘Non-Stationary Log-Periodogram Regression
<http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VC0-3WS6R33...,
Journal of Econometrics, 91, 325-371
Phillips, P.C.B., Shimotsu, K. (2004). Local Whittle estimation in
nonstationary and unit root cases. Ann. Stat. 32, 656-692.
PHILLIPS, P.C.B. (2007): Unit root log periodogram regression.
Journal of Econometrics 138(1), 104-124.
ABADIR, K.M., DISTASO, W. and GIRAITIS, L. (2007):
Nonstationary-extended local Whittle estimation. Journal of
Econometrics 141, 1353-1384.
SHIMOTSU, K. and PHILLIPS, P.C.B (2005): Exact local Whittle
estimation of fractional integration. The Annals of Statistics 33(4),
1890-1933.
1.
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10:26 a.m.
New subject: LW estimator and the GPH test
I would like to thank everyone for offering helpful comments. My
initial motivation for this message was the lack of documentation in
the user's guide as well as a GUI help icon. I realized later that a
short entry with references exists in the command reference.
Cheers
Talha
2010/8/12 Sven Schreiber <svetosch(a)gmx.net>:
Hi,
just wanted to say, although normally I'm not a very big fan of
discussing general econometrics questions unrelated to gretl on this
list, I found the quality of Javier's post impressive. Clear, concise,
and even comes with a list of references, wow!
¡Vaya campeón!
cheers,
sven
Am 10.08.2010 16:55, schrieb Javier García:
> Hi, everybody;
>
> LW and GPH estimators are consistent for d=<1 and asymptotically
> normal for d<0.75 (see Velasco, 1999a, 1999b, Phillips and Shimotsu,
> 2004 and Phillips, 2007), but LW is more efficient. Besides, the
> asymptotic variance depends on the bandwidth (and, normally, the
> bigger the sample size the bigger the bandwidth). If you want to test
> the hypothesis of unit root you should apply the test on the first
> differences of the series and test if the memory parameter is equal
> zero. If you don't reject that hypothesis, the series seems to have a
> unit root. To avoid differenciation, there are other posibilities:
> tapering (Velasco, 1999a, 1999b), ELW of Shimotsu and Phillips
> (2005), non-local estimators (Abadir et Al., 2007), etc.
>
> Cheers Javi
>
> References:
>
> Velasco, C., 1999a. Gaussian semiparametric estimation of
> non-stationary time series. J. Time Ser. Anal. 20, 87-127. Velasco,
> C., 1999b. ‘Non-Stationary Log-Periodogram Regression
>
<http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VC0-3WS6R33...,
>
>
Journal of Econometrics, 91, 325-371
>
> Phillips, P.C.B., Shimotsu, K. (2004). Local Whittle estimation in
> nonstationary and unit root cases. Ann. Stat. 32, 656-692.
>
> PHILLIPS, P.C.B. (2007): Unit root log periodogram regression.
> Journal of Econometrics 138(1), 104-124.
>
> ABADIR, K.M., DISTASO, W. and GIRAITIS, L. (2007):
> Nonstationary-extended local Whittle estimation. Journal of
> Econometrics 141, 1353-1384.
>
> SHIMOTSU, K. and PHILLIPS, P.C.B (2005): Exact local Whittle
> estimation of fractional integration. The Annals of Statistics 33(4),
> 1890-1933.
>
> 1.
>
>
>
>
> _______________________________________________ Gretl-users mailing
> list Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
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3 comments
4 participants
participants (4)
-
Javier García -
Kehl Dániel -
Sven Schreiber -
Talha Yalta