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Exact Local Whittle Estimation of Fractional Integration Author info | Abstract | Publisher info | Download info | Related research | Statistics Katsumi Shimotsu ()
Peter C.B. Phillips ()
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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 2002Date of revision:
Handle: RePEc:esx:essedp:535Contact details of provider: Postal: Wivenhoe Park, COLCHESTER. CO4 3SQ Phone: +44-1206-872728 Fax: +44-1206-872724 Web page: http://www.essex.ac.uk/economics/ More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Peter C.B. Phillips & Victor Solo, 1989.
"Asymptotics for Linear Processes ,"
Cowles Foundation Discussion Papers
932, Cowles Foundation, Yale University.
[Downloadable!]
Chang Sik Kim & Peter C.B. Phillips, 2006.
"Log Periodogram Regression: The Nonstationary Case ,"
Cowles Foundation Discussion Papers
1587, Cowles Foundation, Yale University.
[Downloadable!]
Katsumi Shimotsu & Peter C.B. Phillips, 2000.
"Local Whittle Estimation in Nonstationary and Unit Root Cases ,"
Cowles Foundation Discussion Papers
1266, Cowles Foundation, Yale University, revised Sep 2003.
[Downloadable!]
Peter C.B. Phillips, 1999.
"Discrete Fourier Transforms of Fractional Processes ,"
Cowles Foundation Discussion Papers
1243, Cowles Foundation, Yale University.
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Yixiao Sun & Peter C.B. Phillips, 2002.
"Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes ,"
Cowles Foundation Discussion Papers
1366, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Peter C.B. Phillips, 2004.
"Challenges of Trending Time Series Econometrics ,"
Cowles Foundation Discussion Papers
1472, Cowles Foundation, Yale University.
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Jin Lee, 2004.
"Wavelet transform for log periodogram regression in long memory stochastic volatility model ,"
Econometric Society 2004 Far Eastern Meetings
682, Econometric Society.
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Christian Fischer & Luis Alberiko Gil-Alana, 2005.
"The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine ,"
Faculty Working Papers
15/05, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Katsumi Shimotsu, 2002.
"Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend ,"
Economics Discussion Papers
543, University of Essex, Department of Economics.
[Downloadable!]
Other versions: Aaron Smallwood; Alex Maynard; Mark Wohar, 2005.
"The Long and the Short of It: Long Memory Regressors and Predictive Regressions ,"
Computing in Economics and Finance 2005
384, Society for Computational Economics.
[Downloadable!]
Katsumi Shimotsu, 2003.
"Exact Local Whittle Estimation of Fractionally Cointegrated Systems ,"
Economics Discussion Papers
570, University of Essex, Department of Economics.
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Geetesh Bhardwaj & Norman Swanson, 2004.
"An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series ,"
Departmental Working Papers
200422, Rutgers University, Department of Economics.
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Other versions: Nuno Cassola & Claudio Morana, 2006.
"Comovements in volatility in the euro money market ,"
Working Paper Series
703, European Central Bank.
[Downloadable!]
Peter C.B. Phillips, 2003.
"Laws and Limits of Econometrics ,"
Cowles Foundation Discussion Papers
1397, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005.
"Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques ,"
Economics and Finance Discussion Papers
05-10, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006.
"Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques ,"
Applied Financial Economics Letters ,
Taylor and Francis Journals, vol. 2(1), pages 9-12, January.
[Downloadable!] (restricted)
David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006.
"What drives volatility persistence in the foreign exchange market? ,"
International Finance Discussion Papers
862, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Patrik Guggenberger & Yixiao Sun, 2004.
"Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation ,"
University of California at San Diego, Economics Working Paper Series
2004-14, Department of Economics, UC San Diego.
[Downloadable!]
Katsumi Shimotsu & Peter C.B. Phillips, 2000.
"Local Whittle Estimation in Nonstationary and Unit Root Cases ,"
Cowles Foundation Discussion Papers
1266, Cowles Foundation, Yale University, revised Sep 2003.
[Downloadable!]
Bent Jesper Christensen & Morten Ø. Nielsen, .
"Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data ,"
Economics Working Papers
2001-4, School of Economics and Management, University of Aarhus.
[Downloadable!]
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007.
"Long Run and Cyclical Dynamics in the US Stock Market ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo GmbH.
[Downloadable!]
Katsumi Shimotsu, 2003.
"Gaussian semiparametric estimation of multivariate fractionally integrated processes ,"
Economics Discussion Papers
571, University of Essex, Department of Economics.
[Downloadable!]
Other versions:
Katsumi Shimotsu, 2006.
"Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes ,"
Working Papers
1062, Queen's University, Department of Economics.
[Downloadable!] Shimotsu, Katsumi, 2007.
"Gaussian semiparametric estimation of multivariate fractionally integrated processes ,"
Journal of Econometrics ,
Elsevier, vol. 137(2), pages 277-310, April.
[Downloadable!] (restricted)
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