Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case

Katsumi Shimotsu and Peter Phillips

No 1265, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Semiparametric estimation of the memory parameter is studied in models of fractional integration in the nonstationary case, and some new representation theory for the discrete Fourier transform of a fractional process is used to assist in the analysis. A limit theory is developed for an estimator of the memory parameter that covers a range of values of d commonly encountered in applied work with economic data. The new estimator is called the modified local Whittle estimator and employs a version of the Whittle likelihood based on frequencies adjacent to the origin and modified to take into account the form of the data generating mechanism in the frequency domain. The modified local Whittle estimator is shown to be consistent for 0

Keywords: Discrete Fourier transform; fractional Brownian motion; fractional integration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2000-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d12/d1265.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1265

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().