On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean☆
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We are grateful for the constructive comments of two referees and a co-editor. Discussions with Richard Baillie, Larry Christiano, Christian Gourieroux, Roberto Mariano, Marc Nerlove, Peter Robinson, and Fallaw Sowell were extremely valuable. Useful comments were also received from participants at the 1990 NSF/NBER Time Series Conference at the University of California, San Diego, the 1990 North American Winter Econometric Society Meetings, and from seminar participants at New York University, the University of British Columbia, and the University of Southern California. All remaining errors and shortcomings are ours alone. Cheung gratefully acknowledges support from the Faculty Research Fund and the GICES, U.C. Santa Cruz. Diebold gratefully acknowledges support from the National Science Foundation, the Sloan Foundation, the University of Pennsylvania Research Foundation, and the Institute for Empirical Macroeconomics.