Exact Local Whittle Estimation of Fractional Integration

Katsumi Shimotsu and Peter Phillips

No 1367, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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 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 if the optimization covers an interval of width less than 9/2 and the initial value of the process is known.

Keywords: Discrete Fourier transform; 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: 36 pages
Date: 2002-08, Revised 2004-07
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Citations: View citations in EconPapers (21)

Published in The Annals of Statistics, 33(4): 1890-1933, 2005

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Working Paper: Exact Local Whittle Estimation of Fractional Integration (2002)
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