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Filtered Log-periodogram Regression of long memory processes

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Author Info
Jan Beran () (Universität Konstanz)
Yuanhua Feng

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Abstract

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on ˆ d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening.

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File URL: http://cofe.uni-konstanz.de/Papers/dp08_10.pdf
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Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 08-10.

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Length: 21 pages
Date of creation: 01 Nov 2008
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Handle: RePEc:knz:cofedp:0810

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  1. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Pooled Log Periodogram Regression," Cowles Foundation Discussion Papers 1267, Cowles Foundation, Yale University. [Downloadable!]
  2. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August. [Downloadable!] (restricted)
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