Non-stationary log-periodogram regression

DOI10.1016/S0304-4076(98)00080-3MaRDI QIDQ1298461zbMATH OpenOpenAlexFDO

Authors Carlos I. Hoyos Velasco

Publication date 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(98)00080-3

zbMATH Keywords

TaperingLog-periodogram regressionNon-stationary time seriesSemiparametric inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

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• Trends versus Random Walks in Time Series Analysis

Cited in

(71)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Long memory and data frequency in financial markets
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Tests of bias in log-periodogram regression
• Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
• The distance between rival nonstationary fractional processes
• Residual log-periodogram inference for long-run relationships
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• The role of long memory in hedging effectiveness
• Trend stationarity versus long-range dependence in time series analysis
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Local Whittle estimation of fractional integration and some of its variants
• Estimation of fractional integration under temporal aggregation
• Semiparametric fractional cointegration analysis
• Log-periodogram regression of time series with long range dependence
• Filtered log-periodogram regression of long memory processes
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• Invariance of the first difference in ARFIMA models
• Log-periodogram estimation of the memory parameter of a long-memory process under trend.
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Estimating fractional cointegration in the presence of polynomial trends
• Efficiency in estimation of memory
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• Edgeworth expansions for semiparametric Whittle estimation of long memory.
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• Estimators of long-memory: Fourier versus wavelets
• An efficient taper for potentially overdifferenced long-memory time series
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
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• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
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• A nonstationary and non-Gaussian moving average model for solar irradiance
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• Power-law behaviour, heterogeneity, and trend chasing
• A self-normalized semi-parametric test to detect changes in the long memory parameter
• Higher-order kernel semiparametric M-estimation of long memory
• Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
• Adaptive semiparametric estimation of the memory parameter.
• Bootstrap-based bandwidth choice for log-periodogram regression
• Order selection and inference with long memory dependent data
• A comparison of estimation methods in non-stationary ARFIMA processes
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• A test of the long memory hypothesis based on self-similarity
• On the invertibility of seasonally adjusted series
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• Local Whittle estimation of multi-variate fractionally integrated processes
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Distribution free goodness-of-fit tests for linear processes
• Unit root log periodogram regression
• Bootstrapping the log-periodogram regression
• Log-periodogram regression of two-dimensional intrinsically stationary random fields
• Spatial long memory
• Estimation of long memory in integrated variance
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Optimal Fractional Dickey–Fuller tests
• Semiparametric inference in multivariate fractionally cointegrated systems
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Memory properties of transformations of linear processes
• The Periodogram of fractional processes¹

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