BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

DOI10.1017/S0266466606060403zbMATH Open1125.62108MaRDI QIDQ3408524FDOQ3408524

Authors: Patrik Guggenberger, Yixiao Sun 

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Adaptive semiparametric estimation of the memory parameter.
• Bootstrap-based bandwidth choice for log-periodogram regression
• Broadband log-periodogram regression of time series with long-range dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• A semiparametric two-step estimator in a multivariate long memory model
• Local Whittle estimation in nonstationary and unit root cases.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Exact local Whittle estimation of fractional integration
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Adaptive estimation of the fractional differencing coefficient
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Non-stationary log-periodogram regression
• Broadband log-periodogram regression of time series with long-range dependence
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• The FEXP estimator for potentially non-stationary linear time series.
• Higher-order kernel semiparametric M-estimation of long memory
• Adaptive semiparametric estimation of the memory parameter.
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Model selection for broadband semiparametric estimation of long memory in time series
• On a Problem of Adaptive Estimation in Gaussian White Noise
• Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Data driven order selection for projection estimator of the spectral density of time series with long range dependence
• Bias in the sample autocorrelations of fractional noise

Cited In (8)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Estimation of fractional integration under temporal aggregation
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• A harmonically weighted filter for cyclical long memory processes
• Convex combinations of long memory estimates from different sampling rates
• Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators

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