Exact Local Whittle Estimation of Fractionally Cointegrated Systems

Katsumi Shimotsu and 克己 下津

No 2010-11, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: discrete Fourier transform; fractional cointegration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2010-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (29)

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Related works:
Journal Article: Exact local Whittle estimation of fractionally cointegrated systems (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2010-11

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