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

DOI10.1017/S0266466606060403zbMath1125.62108MaRDI QIDQ3408524

Patrik Guggenberger, Yixiao Sun

Publication date: 14 November 2006

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

62M15: Inference from stochastic processes and spectral analysis

65C05: Monte Carlo methods

Related Items

Using the bootstrap for finite sample confidence intervals of the log periodogram regression, On the properties of the periodogram of a stationary long-memory process over different epochs with applications

Cites Work

• A semiparametric two-step estimator in a multivariate long memory model
• Non-stationary log-periodogram regression
• Broadband log-periodogram regression of time series with long-range dependence
• The FEXP estimator for potentially non-stationary linear time series.
• 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
• Gaussian semiparametric estimation of long range dependence
• Adaptive semiparametric estimation of the memory parameter.
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Exact local Whittle estimation of fractional integration
• Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
• Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Bias in the sample autocorrelations of fractional noise
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• 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
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Adaptive estimation of the fractional differencing coefficient