Exact Local Whittle Estimation of Fractional Integration

  title={Exact Local Whittle Estimation of Fractional Integration},
  author={Katsumi Shimotsu and Peter C. B. Phillips},
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, 14 ) limit distribution for all values of d. AMS 1991 subject classification: 62M10; JEL Classification: C22 
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