IDEAS home Printed from https://ideas.repec.org/p/esx/essedp/8844.html
   My bibliography  Save this paper

Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend

Author

Listed:
  • Shimotsu, Katsumi

Abstract

Recently, Shimotsu and Phillips (2002a) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter d) in fractionally integrated processes. The ELW estimator has been shown to be consistent and have the same N(0, 1/4 ) limit distribution for all values of d. With economic applications in mind, we extend the ELW estimator so that it accommodates an unknown mean and a linear time trend. We show that the resulting feasible ELW estimator is consistent for d > −1/2 and has a N(0, 1/4)limit distribution for dE2 (−1/2, 2) (dE2 (−/12 , 7/4 ) when the data has a linear trend)except for a few negligible intervals. A simulation study shows that the feasible ELW estimator inherits the desirable properties of the ELW estimator even in a small sample.

Suggested Citation

  • Shimotsu, Katsumi, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 8844, University of Essex, Department of Economics.
    • Handle: RePEc:esx:essedp:8844
    as

    Download full text from publisher

    File URL: http://repository.essex.ac.uk/8844/
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
    2. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
    3. Haubrich, Joseph G, 1993. "Consumption and Fractional Differencing: Old and New Anomalies," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 767-772, November.
    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Shimotsu, Katsumi & Phillips, Peter C B, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 8838, University of Essex, Department of Economics.
    6. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
    7. Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291.
    8. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
    9. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
    10. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
    2. repec:exl:2manag:v:16:y:2015:i:1:p:7-37 is not listed on IDEAS
    3. Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Post-Print halshs-00673934, HAL.
    4. Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012. "Comparaison of several estimation procedures for long term behavior," Documents de travail du Centre d'Economie de la Sorbonne 12008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673934, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:8844. 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 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.