Exact Local Whittle Estimation of Fractional Integration
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- Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers 1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
References listed on IDEAS
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Hansen, Bruce E., 1996.
"Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays,"
Econometric Theory, Cambridge University Press, vol. 12(2), pages 347-359, June.
- Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics.
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More about this item
Keywords
Discrete Fourier transform; fractional integration; long memory; nonstationarity; semiparametric estimation; Whittle likelihood.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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