This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes … periodogram to extend the local polynomial Whittle estimator to the non-stationary region. By approximating the short … proposed estimator compared to the classical local Whittle estimator and the local polynomial Whittle estimator. The empirical …

is equivalent to the weighted least squares estimator. The equivalence conditions have interesting applications in local … polynomial regression and kernel smoothing. Specifically, they enable to derive the optimal kernel associated with a particular … covariance structure of the measurement error, where optimality has to be intended in the Gauss-Markov sense. For local …

derived from the local polynomial smoother. We present a uniform stochastic expansion of the empirical estimator based on the … based on the difference between two empirical estimators that estimate the errors in two ways: the first uses a local … polynomial smoother for the nonparametric part; the second estimates the additive components by a marginal integration estimator …

it should not always dominate other local polynomial estimators in empirical studies. We show that the local linear …