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.
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.
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.
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 |
Available files
Filename: dp535.pdf