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Pooled Log Periodogram Regression

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Abstract

Estimation of the memory parameter in time series with long range dependence is considered. A pooled log periodogram regression estimator is proposed that utilizes a set of mL periodogram ordinates with L approaching infinity rather than m ordinates used in the conventional log periodogram estimator. Consistency and asymptotic normality of the pooled regression estimator are established. The pooled estimator is shown to have smaller variance but larger bias than the conventional log periodogram estimator. Finite sample performance is assessed in simulations, and the methods are illustrated in an empirical application with inflation and stock returns.

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File URL: http://cowles.econ.yale.edu/P/cd/d12b/d1267.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1267.

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Length: 46 pages
Date of creation: Jul 2000
Date of revision:
Publication status: Published in Journal of Time Series Analysis (2002), 23(1): 57-93
Handle: RePEc:cwl:cwldpp:1267

Note: CFP 1041
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: Discrete Fourier transform; log periodogram regression; long memory parameter; pooling frequency bands; semiparametric estimation;

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Cited by:
  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series 2671, CESifo Group Munich.
  2. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  3. Phillips, Peter C.B., 2007. "Unit root log periodogram regression," Journal of Econometrics, Elsevier, vol. 138(1), pages 104-124, May.
  4. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
  5. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
  6. Jan Beran & Yuanhua Feng, 2008. "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Paper 08-10, Center of Finance and Econometrics, University of Konstanz.
  7. Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September.

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