Pooled Log Periodogram Regression

DOI10.1111/1467-9892.00575zbMath0991.62070MaRDI QIDQ4544839

Peter C. B. Phillips, Katsumi Shimotsu

Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1267.pdf

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M15: Inference from stochastic processes and spectral analysis

Related Items

Long memory and data frequency in financial markets, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration, Filtered log-periodogram regression of long memory processes, Moment bounds for non-linear functionals of the periodogram, Multivariate modelling of long memory processes with common components, Tests of bias in log-periodogram regression, On the properties of the periodogram of a stationary long-memory process over different epochs with applications

Cites Work

• Discrimination between monotonic trends and long-range dependence
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series