THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR
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Publication:4471129
DOI10.1081/ETC-100104940zbMATH Open1077.62533MaRDI QIDQ4471129FDOQ4471129
Authors: Offer Lieberman 
Publication date: 18 June 2004
Published in: Econometric Reviews (Search for Journal in Brave)
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Exact distribution theory in statistics (62E15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Computing the distribution of quadratic forms in normal variables
- Fractional Brownian Motions, Fractional Noises and Applications
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Log-periodogram regression of time series with long range dependence
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Discrimination between monotonic trends and long-range dependence
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
- Numerical inversion of a characteristic function
- REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
- ACKNOWLEDGEMENT OF PRIORITY FOR "ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES"
Cited In (5)
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- Tests of bias in log-periodogram regression
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- A stable and robust calibration scheme of the log-periodic power law model
- Bias Correction of Persistence Measures in Fractionally Integrated Models
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