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
