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

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Year of publication:	2003
Authors:	Shimotsu, Katsumi ; Phillips, Peter C. B.
Publisher:	[S.l.] : SSRN
Subject:	Nichtparametrisches Verfahren \| Nonparametric statistics \| Stochastischer Prozess \| Stochastic process \| Präferenztheorie \| Theory of preferences \| Schätztheorie \| Estimation theory \| Kointegration \| Cointegration

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Extent:	1 Online-Ressource (35 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2002 erstellt
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

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