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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 08/10
- Klassifikation
-
Wirtschaft
- Thema
-
Filtering
log-periodogram regression
local pre-whitening
fractional differencing parameter
long memory
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Feng, Yuanhua
Beran, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2008
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116770
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Feng, Yuanhua
- Beran, Jan
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2008
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