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Exact Local Whittle Estimation of Fractional Integration

Shimotsu, Katsumi and Phillips, Peter C B (2002) Exact Local Whittle Estimation of Fractional Integration. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that applies throughout the stationary and nonstationary regions of d and which does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0, 1/4)limit distribution for all values of d.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Discrete Fourier transform, fractional integration, long memory, nonstationarity, semiparametric estimation, Whittle likelihood.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Users 161 not found.
Date Deposited: 28 Aug 2014 15:00
Last Modified: 28 Aug 2014 15:00
URI: http://repository.essex.ac.uk/id/eprint/8838

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