Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

DOI10.1111/J.1468-0262.2004.00501.XMaRDI QIDQ5473022zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews, Yixiao Sun

Publication date 19 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1468-0262.2004.00501.x

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(52)

• Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
• Semiparametric estimation in perturbed long memory series
• Estimation of Hurst exponent revisited
• Multivariate modelling of long memory processes with common components
• Modified information criteria and selection of long memory time series models
• A bootstrap approximation for the distribution of the local Whittle estimator
• Higher-order kernel semiparametric M-estimation of long memory
• Local Whittle estimation in nonstationary and unit root cases.
• Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
• Spectral analysis of multifractional LRD functional time series
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Nonlinear regressions with nonstationary time series
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• A piecewise polynomial trend against long range dependence
• Estimators of long-memory: Fourier versus wavelets
• Nonparametric cointegrating regression with endogeneity and long memory
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
• Nonstationarity-extended local Whittle estimation
• Nonlinear models for strongly dependent processes with financial applications
• Econometric estimation in long-range dependent volatility models: theory and practice
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• Bootstrap-based bandwidth choice for log-periodogram regression
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Consistent estimation of the memory parameter for nonlinear time series
• Properties of a block bootstrap under long-range dependence
• Robustness of whittle-type estimators for time series with long-range dependence
• On local trigonometric regression under dependence
• A thresholding-based prewhitened long-run variance estimator and its dependence-oracle property
• Local Whittle estimation of multi-variate fractionally integrated processes
• Local Whittle estimation of long-range dependence for functional time series
• Nonlinear cointegrating power function regression with endogeneity
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• A generalised fractional differencing bootstrap for long memory processes
• Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Adaptive estimation of the fractional differencing coefficient
• Weighted nonlinear regression with nonstationary time series
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• Assessing volatility persistence in fractional Heston models with self-exciting jumps
• Semiparametric inference in multivariate fractionally cointegrated systems
• Estimation of fractional integration under temporal aggregation
• An I(d) model with trend and cycles
• Local polynomial Whittle estimation of perturbed fractional processes
• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• The effect of round-off error on long memory processes

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