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Local Whittle estimation of the long-memory parameter

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

  • Stan Hurn

    (Queensland University of Technology)

  • Kenneth Lindsay

    (University of Glasgow)

Abstract

In this article, we describe and implement the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.

Suggested Citation

  • Christopher F Baum & Stan Hurn & Kenneth Lindsay, 2020. "Local Whittle estimation of the long-memory parameter," Stata Journal, StataCorp LP, vol. 20(3), pages 565-583, September.
    • Handle: RePEc:tsj:stataj:v:20:y:2020:i:3:p:565-583
    DOI: 10.1177/1536867X20953569
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