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...

Recently Shimotsu and Phillips (2002, Essex Discussion Paper 535) 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 )...

Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new estimator employs the exact local Whittle approach developed by Shimotsu and Phillips (2003a) and estimates the two memory parameters jointly with the cointegrating vector. It permits both...

This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered includes multivariate fractionally integrated processes, which are not covered by the existing literature. This paper also establishes the consistency of...