Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)
AbstractSemiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroscedasticity. We show that a leading semiparametric estimate, the Gaussian or local Whittle one, can be consistent and have the same limiting distribution under conditional heteroscedasticity assumed by Robinson (1995a). Indeed, noting that long memory has been observed in the squares of financial time series, we allow, under regularity conditions, for conditional heteroscedasticity of the general form introduced by Robinson (1991) which may include long memory behaviour for the squares, such as the fractional noise and autoregressive fractionally integrated moving average form, as well as standard short memory ARCH and GARCH specifications.
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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /1998/357.
Date of creation: Aug 1998
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long memory; dynamic conditional heteroscedasticity; semiparametric estimation;
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