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Exact Local Whittle Estimation of Fractional Integration

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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 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 if the optimization covers an interval of width less than 9/2 and the initial value of the process is known.

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File URL: http://cowles.econ.yale.edu/P/cd/d13b/d1367.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1367.

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Length: 36 pages
Date of creation: Aug 2002
Date of revision: Jul 2004
Publication status: Published in The Annals of Statistics, 33(4): 1890-1933, 2005
Handle: RePEc:cwl:cwldpp:1367

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Discrete Fourier transform; Fractional integration; Long memory; Nonstationarity; Semiparametric estimation; Whittle likelihood;

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  1. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
  2. Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics.
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