THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

DOI10.1081/ETC-100104940MaRDI QIDQ4471129zbMATH OpenFDO

Authors Offer Lieberman

Publication date 18 June 2004

Published in Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

ARFIMA, Chi-square distribution, Log-periodogram regression

Mathematics Subject Classification ID

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)

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• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• ACKNOWLEDGEMENT OF PRIORITY FOR "ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES"
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Computing the distribution of quadratic forms in normal variables
• Discrimination between monotonic trends and long-range dependence
• ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
• Efficient parameter estimation for self-similar processes
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Log-periodogram regression of time series with long range dependence
• Numerical inversion of a characteristic function
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(5)

• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• A stable and robust calibration scheme of the log-periodic power law model
• Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
• Tests of bias in log-periodogram regression

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