The FEXP estimator for potentially non-stationary linear time series
AbstractWe consider semiparametric fractional exponential (FEXP) estimators of the memory parameter d for a potentially non-stationary linear long-memory time series with additive polynomial trend. We use differencing to annihilate the polynomial trend, followed by tapering to handle the potential non-invertibility of the differenced series. We propose a method of pooling the tapered periodogram which leads to more efficient estimators of d than existing pooled, tapered estimators. We establish asymptotic normality of the tapered FEXP estimator in the Gaussian case with or without pooling. We establish asymptotic normality of the estimator in the linear case if pooling is used. Finally, we consider minimax rate-optimality and feasible nearly rate-optimal estimators in the Gaussian case.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 97 (2002)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Velasco, Carlos, .
"Non-stationary log-periodogram regression,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/4346, Universidad Carlos III de Madrid.
- Velasco, Carlos, . "Non-stationary log-periodogram regression," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4554, Universidad Carlos III de Madrid.
- Fay, Gilles & Soulier, Philippe, 2001. "The periodogram of an i.i.d. sequence," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 315-343, April.
- Soulier, Philippe, 2001. "Moment bounds and central limit theorem for functions of Gaussian vectors," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 193-203, September.
- Velasco, Carlos, 2000.
"Non-Gaussian Log-Periodogram Regression,"
Cambridge University Press, vol. 16(01), pages 44-79, February.
- Velasco, Carlos, . "Non-gaussian log-periodogram regression," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3968, Universidad Carlos III de Madrid.
- Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive Semiparametric Estimation of the Memory Parameter," Journal of Multivariate Analysis, Elsevier, vol. 72(2), pages 183-207, February.
- Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004.
"Asymptotics for Duration-Driven Long Range Dependent Processes,"
- Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe, 2007. "Asymptotics for duration-driven long range dependent processes," Journal of Econometrics, Elsevier, vol. 141(2), pages 913-949, December.
- Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.
- Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
- Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, EconWPA.
- Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.