Exact Local Whittle Estimation of Fractional Integration
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.
|Date of creation:||Aug 2002|
|Date of revision:||Jul 2004|
|Publication status:||Published in The Annals of Statistics, 33(4): 1890-1933, 2005|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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