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Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

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  • Per Frederiksen
  • Frank S. Nielsen

    ()
    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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    Abstract

    In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er simulation results that show good size properties of the tests, with power against spurious long memory. An empirical study of daily log-squared returns series of exchange rates and DJIA30 stocks shows that indeed there is long memory in exchange rate volatility and stock return volatility.

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    File URL: ftp://ftp.econ.au.dk/creates/rp/08/rp08_59.pdf
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    Bibliographic Info

    Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2008-59.

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    Length: 51
    Date of creation: 25 Nov 2008
    Date of revision:
    Handle: RePEc:aah:create:2008-59

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    Web page: http://www.econ.au.dk/afn/

    Related research

    Keywords: Temporal aggregation; semiparametric estimation; fractional integration; self-similarity; perturbed fractional processes.;

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    10. Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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    22. Gil-Alana Luis A, 2003. "Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-15, September.
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    Cited by:
    1. Norman R. Swanson & Valentina Corradi, 2011. "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Departmental Working Papers 201112, Rutgers University, Department of Economics.
    2. Kristensen, Dennis, 2009. "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1433-1445, October.

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