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Log-periodogram estimation of the memory parameter of a long-memory process under trend

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  • Sibbertsen, Philipp

Abstract

We 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 Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 61 (2003)
Issue (Month): 3 (February)
Pages: 261-268

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Handle: RePEc:eee:stapro:v:61:y:2003:i:3:p:261-268

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Keywords: Long memory Trends Log-periodogram regression;

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References

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  1. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, Springer, vol. 45(4), pages 465-515, October.
  2. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, Elsevier, vol. 91(2), pages 325-371, August.
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Cited by:
  1. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
  2. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  3. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Sibbertsen, Philipp, 2001. "Long-memory in volatilities of German stock returns," Technical Reports 2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-13.
  6. repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
  7. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.

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