ANDREWS, DONALD W; Sun, Yixiao X - Department of Economics, University of California-San … - 2002
The local Whittle (or Guassian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...