Exact Local Whittle Estimation of Fractional Integration

Katsumi Shimotsu and Peter Phillips

Economics Discussion Papers from University of Essex, Department of Economics

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 applies throughout the stationary and nonstationary regions of d and which 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.

Keywords: Discrete Fourier transform; fractional integration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood. (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (17)

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Working Paper: Exact Local Whittle Estimation of Fractional Integration (2004)
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