Exact Local Whittle Estimation of Fractional Integration

35 Pages Posted: 1 Jun 2002

See all articles by Katsumi Shimotsu

Katsumi Shimotsu

Queen's University - Department of Economics

Peter C. B. Phillips

University of Auckland Business School; Yale University - Cowles Foundation; Singapore Management University - School of Economics

Date Written: May 2002

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

JEL Classification: C22

Suggested Citation

Shimotsu, Katsumi and Phillips, Peter C. B., Exact Local Whittle Estimation of Fractional Integration (May 2002). Available at SSRN: https://ssrn.com/abstract=311511

Katsumi Shimotsu

Queen's University - Department of Economics ( email )

99 University Avenue
Kingston K7L 3N6, Ontario
Canada

Peter C. B. Phillips (Contact Author)

University of Auckland Business School ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand
+64 9 373 7599 x7596 (Phone)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3695 (Phone)
203-432-5429 (Fax)

Singapore Management University - School of Economics

90 Stamford Road
178903
Singapore

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