Shimotsu, Katsumi - In: Econometric Theory 26 (2010) 02, pp. 501-540
Recently, Shimotsu and Phillips (2005, <italic>Annals of Statistics</italic> 33, 1890–1933) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter (<italic>d</italic>) in fractionally integrated processes. The ELW estimator has been shown to be consistent, and it has the same...