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

By Katsumi Shimotsu. Econometric Theory, 2009

638 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c7784965f3c5a0f3dcb0b6647bdc094fd68fab5a

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Citations in the corpus

A generalized ARFIMA process with Markov-switching fractional differencing parameter (2009, background): “reduces to the specification in (7) of Shimotsu and Phillips (2005) :”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, neutral): “Shimotsu (2004) also shows that the presence of a polynomial time trend can be dealt with simply by prior detrending of the data.”
Estimators of Long-Memory: Fourier versus Wavelets (2008, methodology): “ry M(d) processes, d≥ 1/2, which are not covered in details in this contribution because they are derive under slightly diﬀerent conditions and henceforth do not compare well with wavelet estimators. Shimotsu and Phillips (2005) introduced an exact local Whittle estimator. It is applicable when the ”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, neutral): “An alternative approach is due to Shimotsu and Phillips (2005).”
A multivariate long-memory model with structural breaks (2009, methodology): “Semiparametric approaches are followed by Geweke and Porter-Hudak 28 , Robinson 29 , Velasco 30 , Phillips and Shimotsu 31 32 , and other.”
Exact local Whittle estimation of fractionally cointegrated systems (2012, positive): “First, from Lemma 1 of Lobato and Velasco (2000) and Lemma 1 of Shimotsu (2010b), we have ∑s j(p,κ)(A T 0j − Ω0) = Op(s β+1n−β + log n + s1/2) for any 1 ≤ s ≤ m. Combining it with Lemma 2(c) of Shimotsu (2010b) and summation by parts, we obtain ∑s j(p,κ)(A T (k,`) 0j − Ω (k,`) 0 ) = Op(s β+1n−β +…”
Gaussian pseudo-maximum likelihood estimation of fractional time series models (2011, background): “, [19, 23]) afford still greater flexibility than (1.”
Unit root log periodogram regression (2007, methodology): “However, this approach is analogous to the exact local Whittle (ELW) estimator of Phillips (1999) and Shimotsu and Phillips (2005).”