Pooled Log Periodogram Regression
Let \(X(t)\) be a stationary Gaussian long-memory process whose spectral density has the form \(f_x(\lambda)=|1-\exp(i\lambda)|^{-2d}f_u(\lambda)\), where \(d\in (-1/2, 1/2)\) and \(f_u(\lambda)\) is a symmetric, periodic positive smooth function. The goal of this paper is the analysis of estimators of the parameter \(d\) which governs the long-memory property of \(X(t)\). The authors propose the so-called ``pooled log periodogram regression estimator based on a set of \(mL\) periodogram ordinates with \(L\to \infty\) and compared it with the conventional log-periodogram estimator introduced by \textit{J. Geweke} and \textit{S. Porter-Hudak} [J. Time Ser. Anal. 4, 221-238 (1983; Zbl 0534.62062)] which is sometimes called GPH estimator. Consistency and asymptotic normality of the pooled regression estimator are proved. The pooled estimator is shown to have smaller asymptotic variance, but larger asymptotic bias, than the GPH estimator. Finite sample performance is studied by simulation. Simulation results are discussed and applications of both estimators are illustrated on real data of US inflation series and stock returns.
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Log-periodogram regression in asymmetric long memory.
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- Multivariate modelling of long memory processes with common components
- Tests of bias in log-periodogram regression
- Nonlinear log-periodogram regression for perturbed fractional processes
- Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram
- An improvement of the GPH estimator.
- The averaged periodogram estimator for a power law in coherency
- On the properties of the periodogram of a stationary long-memory process over different epochs with applications
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Long memory and data frequency in financial markets
- Adaptive long memory testing under heteroskedasticity
- Log-periodogram regression in asymmetric long memory.
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Filtered log-periodogram regression of long memory processes
- Moment bounds for non-linear functionals of the periodogram
This page was built for publication: Pooled Log Periodogram Regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4544839)
