EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

DOI10.1017/S0266466609100075MaRDI QIDQ3557550zbMATH OpenOpenAlexFDO

Authors Katsumi Shimotsu

Publication date 23 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466609100075

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• Alternative forms of fractional Brownian motion
• An efficient taper for potentially overdifferenced long-memory time series
• Efficient Tests of Nonstationary Hypotheses
• Exact local Whittle estimation of fractional integration
• Fractional integration analysis of long-run behavior for US macroeconomic time series
• Gaussian semiparametric estimation of long range dependence
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Local Whittle estimation in nonstationary and unit root cases.
• Local Whittle estimation of fractional integration and some of its variants
• Log-periodogram regression of time series with long range dependence
• Nonstationarity-extended local Whittle estimation
• On large-sample estimation for the mean of a stationary random sequence
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• Rate of convergence of one- and two-step M-estimators with applications to maximum likelihood and Pitman estimators
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The distance between rival nonstationary fractional processes
• The Stochastic Difference Between Econometric Statistics
• Unit root log periodogram regression

Cited in

(40)

• When long memory meets the Kalman filter: a comparative study
• Perpetual learning and apparent long memory
• Consistent inference for predictive regressions in persistent economic systems
• Consumption, aggregate wealth and expected stock returns: an FCVAR approach
• A comparison of semiparametric tests for fractional cointegration
• Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
• Testing for parameter instability and structural change in persistent predictive regressions
• Algebraic estimation for fractional integrals of noisy acceleration based on the behaviour of fractional derivatives at zero
• Whittle-type estimation under long memory and nonstationarity
• Efficient tapered local Whittle estimation of multivariate fractional processes
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• Learning can generate long memory
• Long-run comovements in East Asian stock market volatility
• Testing for a break in trend when the order of integration is unknown
• Exact local Whittle estimation of fractional integration
• Local Whittle estimation of fractional integration and some of its variants
• Local Whittle estimation of fractional integration for nonlinear processes
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• Signal extraction in long memory stochastic volatility
• Robust testing of time trend and mean with unknown integration order errors
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
• Harmonically Weighted Processes
• Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• A generalised fractional differencing bootstrap for long memory processes
• Exact local Whittle estimation of fractionally cointegrated systems
• Adaptive long memory testing under heteroskedasticity
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Exact local Whittle estimation in long memory time series with multiple poles
• Posterior propriety of an objective prior for generalized hierarchical normal linear models
• Robust testing for explosive behavior with strongly dependent errors
• Posterior propriety of an objective prior in a 4-level normal hierarchical model
• Judgment can spur long memory
• Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
• Monitoring breaks in fractional cointegration
• The modified conditional sum-of-squares estimator for fractionally integrated models
• Estimation of fractional integration under temporal aggregation
• A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
• Efficiency in estimation of memory

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