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Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend

Shimotsu, Katsumi (2002) Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

Recently, Shimotsu and Phillips (2002a) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter d) in fractionally integrated processes. The ELW estimator has been shown to be consistent and have the same N(0, 1/4 ) limit distribution for all values of d. With economic applications in mind, we extend the ELW estimator so that it accommodates an unknown mean and a linear time trend. We show that the resulting feasible ELW estimator is consistent for d > −1/2 and has a N(0, 1/4)limit distribution for dE2 (−1/2, 2) (dE2 (−/12 , 7/4 ) when the data has a linear trend)except for a few negligible intervals. A simulation study shows that the feasible ELW estimator inherits the desirable properties of the ELW estimator even in a small sample.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Users 161 not found.
Date Deposited: 06 Mar 2014 10:05
Last Modified: 06 Mar 2014 10:05
URI: http://repository.essex.ac.uk/id/eprint/8844

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