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Exact Local Whittle Estimation of Fractional Integration

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  • Katsumi Shimotsu

    ()

  • Peter C.B. Phillips

    ()

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.

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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 535.

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Date of creation: 28 Feb 2002
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Handle: RePEc:esx:essedp:535

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  1. Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics.
  2. 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.
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