Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend

Katsumi Shimotsu

No 1061, Working Paper from Economics Department, Queen's University

Abstract: Recently, Shimotsu and Phillips (2005) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter (d) in fractionally integrated processes. The ELW estimator has been shown to be consistent and 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 mean of the process is known. With the intent to provide an efficient semiparametric estimator suitable for economic data, we extend the ELW estimator so that it accommodates an unknown mean and a polynomial time trend. We show that the resulting feasible ELW estimator is consistent and has a N(0,1/4) limit distribution for -1/2

JEL-codes: C22 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2006-03
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Citations: View citations in EconPapers (59)

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1061.pdf First version 2006 (application/pdf)

Related works:
Journal Article: EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1061

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