An overview of modified semiparametric memory estimation methods

Arbeitspapier

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being contaminated. In this paper, we provide an overview and compare the performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account for low frequency contaminations and three procedures developed for perturbed fractional processes. We conduct an extensive Monte Carlo study for a variety of parameter constellations and several DGPs. Furthermore, an empirical application of the log-absolute return series of the S&P 500 shows that the estimation results combined with a long-memory test indicate a spurious long-memory process.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Hannover Economic Papers (HEP) ; No. 628

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Spurious Long Memory ; Semiparametric estimation ; Low frequency contamination ; Pertubation ; Monte Carlo simulation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Busch, Marie ; Sibbertsen, Philipp
• Event: Veröffentlichung
• (who): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (where): Hannover
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/200640
• Last update: 10.03.2025, 11:44 AM CET