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 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.

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Year of publication:	2002-02-28
Authors:	Shimotsu, Katsumi ; Phillips, Peter C.B.

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Extent:	application/pdf
Series:	Economics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 535
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005611843