Exact local Whittle estimation of fractionally integrated processes

Economics

Speaker:Katsumi Shimotsu, University of Essex
Date: Friday 19 October 2001
Time: 16:15
Location: Room 106 Streatam Court

Further details

A new semiparametric estimator of d, the memory parameter of fractionally integrated processes, is proposed and its asymptotic properties are developed. The new estimator is shown to be consistent and asymptotically normally distributed for any value of d, given the mean of the process is known. An extension to the cases with unknown mean is also considered.