Exact Local Whittle Estimation of Fractionally Cointegrated Systems

@inproceedings{Shimotsu2003ExactLW,
  title={Exact Local Whittle Estimation of Fractionally Cointegrated Systems},
  author={Katsumi Shimotsu},
  year={2003}
}
  • Katsumi Shimotsu
  • Published 2003
Semiparametric estimation of a bivariate fractionally coitegrated system is considered. The new estimator employs the exact local Whittle approach developed by Shimotsu and Phillips (2003a) and estimates the two memory parameters jointly with the cointegrating vector. It permits both (asymptotically) stationary and nonstationary stochastic trends and/or equilibrium errors without relying on differencing or data tapering. Indeed, the asymptotic properties of the estimator depend only on the… CONTINUE READING