Log-periodogram estimation of the memory parameter of a long-memory process under trend
AbstractWe show that log-periodogram-based estimators for the memory parameter in a stationary invertible long-memory process do not confuse small trends with long-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 61 (2003)
Issue (Month): 3 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Sibbertsen, Philipp, 2001. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports 2001,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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.:
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Springer, vol. 45(4), pages 465-515, October.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
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- Sibbertsen, Philipp, 2001.
"Long-memory versus structural breaks: An overview,"
2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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"Long-memory in volatilities of German stock returns,"
2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, 09.
- Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
- repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
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