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Local Whittle estimation of the long-memory parameter

Baum, Christopher F.; Hurn, Stan; Lindsay, Kenneth
2020
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Abstract

In this article, we describe and implement the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.

Details

Title
Local Whittle estimation of the long-memory parameter
Keywords
Author(s)
Baum, Christopher F.
Hurn, Stan
Lindsay, Kenneth
Subject(s)
Issue Date
2020-07
Publication Type
Journal Article
Digital Object Identifier
https://doi.org/10.22004/ag.econ.340366
Record Identifier
https://ageconsearch.umn.edu/record/340366
ISSN
1536-8634
Language
English
Published in
Stata Journal
Volume
20
Issue
3
Page Range
565 - 583
Record Appears in
Stata Journal

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