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Selection of the number of frequencies using bootstrap techniques in log-periodogram regression

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  • Arteche González, Jesús María
  • Orbe Lizundia, Jesús María

Abstract

The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean squared error and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins.

Suggested Citation

  • Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    • Handle: RePEc:ehu:biltok:5585
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    References listed on IDEAS

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