Exact Local Whittle Estimation of Fractional Integration

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 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 if the optimization covers an interval of width less than 9/2 and the initial value of the process is known.

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Year of publication:	2002-08
Authors:	Shimotsu, Katsumi ; Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Discrete Fourier transform \| Fractional integration \| Long memory \| Nonstationarity \| Semiparametric estimation \| Whittle likelihood

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in The Annals of Statistics, 33(4): 1890-1933, 2005 The price is None Number 1367 36 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005593209