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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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
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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