Local Whittle estimation of the long-memory parameter

Christopher Baum, Stan Hurn and Kenneth Lindsay ()
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Kenneth Lindsay: University of Glasgow

Stata Journal, 2020, vol. 20, issue 3, 565-583

Abstract: In this article, we describe and implement the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.

Keywords: whittle; Whittle estimator; long memory; fractional integration (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:20:y:2020:i:3:p:565-583

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DOI: 10.1177/1536867X20953569

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