Re: [Gretl-users] local whittle estimator
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.
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
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti