  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 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 if the optimization covers an
interval of width less than {9/2} and the initial value of the process is
known.
