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 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.
|Date of creation:||2002|
|Contact details of provider:|| Postal: Wivenhoe Park, COLCHESTER. CO4 3SQ|
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- Hansen, Bruce E., 1996.
"Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays,"
Cambridge University Press, vol. 12(02), pages 347-359, June.
- 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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