Local Whittle estimation in nonstationary and unit root cases
非平稳与单位根情形下的局部Whittle估计
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2} 1 and when the process has a polynomial trend of order α>{1/2}, the estimator is shown to be inconsistent and to converge in probability to unity.