Arbeitspapier
Filtered Log-periodogram Regression of long memory processes
Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on ˆd is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening.
- Language
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Englisch
- Bibliographic citation
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Series: CoFE Discussion Paper ; No. 08/10
- Classification
-
Wirtschaft
- Subject
-
Filtering
log-periodogram regression
local pre-whitening
fractional differencing parameter
long memory
- Event
-
Geistige Schöpfung
- (who)
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Feng, Yuanhua
Beran, Jan
- Event
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Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
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Konstanz
- (when)
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2008
- Handle
- URN
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urn:nbn:de:bsz:352-opus-116770
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Feng, Yuanhua
- Beran, Jan
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2008
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