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

DOI10.1017/S0266466606060403MaRDI QIDQ3408524zbMATH OpenFDO

Authors Patrik Guggenberger, Yixiao Sun

Publication date 14 November 2006

Published in Econometric Theory (Search for Journal in Brave)

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)

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

Cites work

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

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

This page was built for publication: BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3408524)