Temporal Aggregation and Bandwidth Selection in Estimating Long Memory
AbstractThis article aims at showing that a temporal aggregation and a specific bandwidth reduction lead to the same asymptotic properties in estimating long memory by Geweke and Porter-Hudak's [Journal of Time Series Analysis (1983) vol. 4, pp. 221-237] and Robinson's [Annals of Statistics (1995b) vol. 23, pp. 1630-1661] estimators. In other words, irrespective of the level of temporal aggregation, the asymptotic properties of the estimator are uniquely determined by the number of periodogram ordinates used in the estimation, provided some mild additional assumptions are imposed. Monte Carlo simulations show that this result is a good approximation in finite samples. A real example with the daily US Dollar/French Franc exchange rate series is also provided. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.
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Bibliographic InfoPaper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 478.
Date of creation: 30 Mar 2003
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- Leonardo Rocha Souza, 2007. "Temporal Aggregation and Bandwidth selection in estimating long memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 701-722, 09.
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