Exact Local Whittle Estimation of Fractional Integration
Download full text from publisher
Other versions of this item:
- Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers 1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
References listed on IDEAS
- 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.
More about this item
KeywordsDiscrete Fourier transform; fractional integration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:esx:essedp:8838. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Essex Economics Web Manager). General contact details of provider: http://edirc.repec.org/data/edessuk.html .