文章基本信息

标题：Exact Local Whittle Estimation of Fractional Integration∗
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作者：Katsumi Shimotsu Peter C. B. Phillips
期刊名称：Discussion Papers / Department of Economics, University of Essex
出版年度：2002
卷号：2002
出版社：University of Essex
摘要：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.
关键词：Discrete Fourier transform, fractional integration, long memory, nonstationarity, semiparametric estimation, Whittle likelihood