Exact local Whittle estimation of fractional integration

DOI10.1214/009053605000000309zbMath1081.62069arXivmath/0508286OpenAlexW3123103961MaRDI QIDQ2583422

Peter C. B. Phillips, Katsumi Shimotsu

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508286

zbMATH Keywords

discrete Fourier transform semiparametric estimation long memory nonstationarity Whittle likelihood

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (95)

Unnamed Item ⋮ LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES ⋮ Unit root log periodogram regression ⋮ Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models ⋮ Local Whittle estimation in nonstationary and unit root cases. ⋮ Modified information criteria and selection of long memory time series models ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ Nonstationarity-extended local Whittle estimation ⋮ Diagnostic testing for cointegration ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Fractional integration and data frequency ⋮ Perpetual learning and apparent long memory ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Long memory, fractional integration, and cross-sectional aggregation ⋮ True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Estimating memory parameter in the US inflation rate ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Nonlinear log-periodogram regression for perturbed fractional processes ⋮ Long memory and data frequency in financial markets ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Harmonically Weighted Processes ⋮ QUANTILOGRAMS UNDER STRONG DEPENDENCE ⋮ Change-point detection for long-range dependent sequences in a general setting ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ The effect of round-off error on long memory processes ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Nonstationary fractionally integrated functional time series ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ Gaussian pseudo-maximum likelihood estimation of fractional time series models ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ Refined Inference on Long Memory in Realized Volatility ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series ⋮ Model checks for nonlinear cointegrating regression ⋮ EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ TESTING CATCHING‐UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY” ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Multiple local Whittle estimation in stationary systems ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Recent advances in nonstationary time series: a festschrift in honor of Peter C.B. Phillips ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Gaussian semiparametric estimation of multivariate fractionally integrated processes ⋮ Fractional differencing in discrete time ⋮ Long memory interdependency and inefficiency in bitcoin markets ⋮ Efficiency in estimation of memory ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Likelihood based testing for no fractional cointegration ⋮ Estimation of fractional integration under temporal aggregation ⋮ An I(\(d\)) model with trend and cycles ⋮ Learning can generate long memory ⋮ Nonstationarity-extended Whittle estimation with discontinuity: a correction ⋮ Consumption, aggregate wealth and expected stock returns: an FCVAR approach ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ Multivariate modelling of long memory processes with common components ⋮ A novel Bayesian approach to estimate long memory parameter ⋮ A multivariate long-memory model with structural breaks ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ Local Whittle estimation of multi-variate fractionally integrated processes ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION ⋮ A Note on Whittle's Likelihood ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS ⋮ Approximate state space modelling of unobserved fractional components ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data ⋮ Consistent estimation of the memory parameter for nonlinear time series ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Cites Work

This page was built for publication: Exact local Whittle estimation of fractional integration