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math.ST2005
Exact local Whittle estimation of fractional integration
Katsumi Shimotsu, 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 does not rely on tap…
math.ST2004
Local Whittle estimation in nonstationary and unit root cases
Peter C. B. Phillips, Katsumi Shimotsu
Asymptotic properties of the local Whittle estimator in the nonstationary case (d>{1/2}) are explored. For {1/2}<d\leq 1, the estimator is shown to be consistent, and its limit dis…