Local Whittle estimation of fractional integration and some of its variants

DOI10.1016/j.jeconom.2004.09.014zbMath1337.62064OpenAlexW2003391409MaRDI QIDQ274887

Katsumi Shimotsu, Peter C. B. Phillips

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.014

zbMATH Keywords

discrete Fourier transformsemiparametric estimationfractional integrationlong memoryWhittle likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (25)

Unnamed Item ⋮ LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models ⋮ Modified information criteria and selection of long memory time series models ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ The effect of round-off error on long memory processes ⋮ On the estimation of short memory components in long memory time series models ⋮ Testing for a break in trend when the order of integration is unknown ⋮ Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND ⋮ TESTING CATCHING‐UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY” ⋮ Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates ⋮ A fractionally integrated Wishart stochastic volatility model ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Cites Work

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• The distance between rival nonstationary fractional processes
• Non-stationary log-periodogram regression
• Alternative forms of fractional Brownian motion
• Narrow-band analysis of nonstationary processes
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Efficient Tests of Nonstationary Hypotheses
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• THE NONSTATIONARY FRACTIONAL UNIT ROOT

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