Exact Local Whittle Estimation of Fractional
\nIntegration

Abstract

An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that applies throughout the stationary and nonstationary regions of d and
\nwhich does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N(0, 1/4)limit distribution for all values of d.