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英文文献：Local polynomial Whittle estimation covering non-stationary fractional processes-覆盖非平稳分数过程的局部多项式惠特估计
英文文献作者：Frank S. Nielsen
英文文献摘要：
This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes covering stationary and non-stationary regions. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the local polynomial Whittle estimator to the non-stationary region. By approximating the short-run component of the spectrum by a polynomial, instead of a constant, in a shrinking neighborhood of zero we alleviate some of the bias that the classical local Whittle estimators is prone to. A simulation study illustrates the performance of the proposed estimator compared to the classical local Whittle estimator and the local polynomial Whittle estimator. The empirical justification of the proposed estimator is shown through an analysis of credit spreads.
摘要将Andrews和Sun(2004)的局部多项式惠特估计推广到覆盖平稳和非平稳区域的小积分过程。利用扩展的离散傅里叶变换和周期图的概念，将局部多项式的惠特估计扩展到非平稳区域。通过将频谱的短期分量近似为一个多项式，而不是一个常数，在一个不断缩小的零附近，我们减轻了经典局部惠特估计器容易产生的一些偏差。仿真研究表明了该估计器与经典局部惠特尔估计器和局部多项式惠特尔估计器的性能比较。通过对信贷利差的分析，证明了所提估计量的实证证明。
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