CFDP 1367

Local Whittle Estimation of Fractional Integration

Author(s): 

Publication Date: May 2002

Update Date: July 2004

Pages: 36

Abstract: 

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 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 if the optimization covers an interval of width less than 9/2 and the initial value of the process is known.

Keywords: 

Discrete Fourier transform, Fractional integration, Long memory, Nonstationarity, Semiparametric estimation, Whittle likelihood

JEL Classification Codes:  C22

See CFP: 1156