Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

DOI10.1111/j.1468-0262.2004.00501.xzbMath1131.62317OpenAlexW2128131501MaRDI QIDQ5473022

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00501.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (43)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Local Whittle estimation in nonstationary and unit root cases. ⋮ Modified information criteria and selection of long memory time series models ⋮ Nonstationarity-extended local Whittle estimation ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Properties of a block bootstrap under long-range dependence ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Wavelet semi-parametric inference for long memory in volatility in the presence of a trend ⋮ The effect of round-off error on long memory processes ⋮ Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Empirical likelihood confidence intervals for the mean of a long‐range dependent process ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY ⋮ Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes ⋮ A piecewise polynomial trend against long range dependence ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Estimation of fractional integration under temporal aggregation ⋮ An I(\(d\)) model with trend and cycles ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ Bootstrap-based bandwidth choice for log-periodogram regression ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ Semiparametric estimation in perturbed long memory series ⋮ Estimation of Hurst exponent revisited ⋮ Multivariate modelling of long memory processes with common components ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Local Whittle estimation of multi-variate fractionally integrated processes ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION ⋮ Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends ⋮ Nonlinear regressions with nonstationary time series ⋮ Consistent estimation of the memory parameter for nonlinear time series ⋮ Spectral analysis of multifractional LRD functional time series ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY ⋮ LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes ⋮ Higher-order kernel semiparametric M-estimation of long memory

This page was built for publication: Adaptive Local Polynomial Whittle Estimation of Long-range Dependence