Non-stationary log-periodogram regression

DOI10.1016/S0304-4076(98)00080-3zbMATH Open1041.62533OpenAlexW2090879268MaRDI QIDQ1298461FDOQ1298461

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

Recommendations

• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

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)

Cites Work

• Title not available (Why is that?)
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Log-periodogram regression of time series with long range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Efficient Tests of Nonstationary Hypotheses
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• On the errors-in-variables problem for time series
• Spectral Analysis for Physical Applications
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
• Trends versus Random Walks in Time Series Analysis
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• On the Efficiency of Spectral Density Estimates of a Stationary Process. II
• On the Efficiency of Spectral Density Estimates of a Stationary Process

Cited In (71)

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

Uses Software

• sapa

This page was built for publication: Non-stationary log-periodogram regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1298461)