Re: [Gretl-users] local whittle estimator
Riccardo (Jack) Lucchetti schrieb:
On Tue, 23 Mar 2010, Allin Cottrell wrote:
>
> On Tue, 23 Mar 2010, Sven Schreiber wrote:
>
>> I would like to know on which precise formula/reference the "local
>> whittle estimator" (which is printed after the 'pergm' command) is
>> based. And/or in which source file do I find the relevant code?
>
> I can't give the reference offhand -- I guess Jack may be able to
> -- but the code is in lib/src/describe.c: see the block of
> functions named LWE_*.
Robinson, P. (1995), "Gaussian Semiparametric Estimation of Long Range
Dependence", Annals of Statistics, 23(5), p. 1630--1661.
great, thanks!
While we're on the subject, the modified version by Shimotsu and
Phillips would probably be nice to have too:
Shimotsu, K. and Phillips, PCB (2005) "Exact local Whittle estimation of
fractional integration", Annals of Statistics, 33(4), p. 1890--1933
and while we're on "nice-to-have things", maybe also “Exact Local
Whittle Estimation of Fractional Integration with Unknown Mean and Time
Trend”? (forthcoming in Econometric Theory,
http://qed.econ.queensu.ca/faculty/shimotsu/papers/2step_ELW.pdf)
(there's some matlab code on his website, too; of course, one would have
to check the licensing, maybe even before looking at it?)
cheers,
sven