Local Whittle estimation of fractional integration and some of its variants

Journal of Econometrics

Volumn 130, Issue 2, 2006, Pages 209-233

  Shimotsu, Katsumi ^a,b   Phillips, Peter C B ^b,c,d,e  

^a QUEEN S UNIVERSITY   (Canada)

^b YALE UNIVERSITY   (United States)

^c Cowles Foundation ^*  (United States)

^d UNIVERSITY OF AUCKLAND   (New Zealand)

^e UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Discrete Fourier transform; Fractional integration; Long memory; Semiparametric estimation; Whittle likelihood

Indexed keywords

ASYMPTOTIC STABILITY; INTEGRATION; MATHEMATICAL MODELS;

DISCRETE FOURIER TRANSFORM; FRACTIONAL INTEGRATION; LONG MEMORY; SEMIPARAMETRIC ESTIMATION; WHITTLE LIKELIHOOD;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 31344441177     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.09.014     Document Type: Article

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