Exact Local Whittle Estimation of Fractional Integration
35 Pages Posted: 1 Jun 2002
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: 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
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