Nonstationarity-extended Whittle estimation with discontinuity: A correction
Published in Economics Letters, 2019
Cheung, Y.L. (2020). "Nonstationarity-extended Whittle estimation with discontinuity: A correction" Economics Letters, 187. doi: 10.1016/j.econlet.2019.108914
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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.