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, http://hdl.handle.net/10016/4346

zbMATH Keywords

Log-periodogram regressionNon-stationary time seriesSemiparametric inferenceTapering

Mathematics Subject Classification ID

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

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Cited in

(74)

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

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