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Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach

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  • Masaki Narukawa
  • Yasumasa Matsuda

Abstract

This paper proposes a semiparametric estimator of the long-memory parameter to fit a fractional exponential (FEXP) model by a likelihood-based approach. We establish that our proposed estimator is more efficient than the FEXP estimator proposed independently by Moulines and Soulier (1999) and Hurvuch and Brodsky (2001), and has the same asymptotic variance as the fractionally differenced autoregressive (FAR) estimator proposed by Bhansali et al. (2006) without pooling the periodogram. The Monte Carlo studies suggest that our estimator outperforms the FEXP estimator or is not inferior to the Gaussian semiparametric estimator (GSE) and will be also empirically effective in non-Gaussian processes.

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File URL: http://hdl.handle.net/10097/55392
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File URL: http://ir.library.tohoku.ac.jp/re/bitstream/10097/55392/1/terg239.pdf
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Bibliographic Info

Paper provided by Graduate School of Economics and Management, Tohoku University in its series TERG Discussion Papers with number 239.

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Length: 27 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:toh:tergaa:239

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  1. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(01), pages 44-79, February.
  2. Fay, Gilles & Soulier, Philippe, 2001. "The periodogram of an i.i.d. sequence," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 315-343, April.
  3. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, 07.
  4. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
  5. Soulier, Philippe, 2001. "Moment bounds and central limit theorem for functions of Gaussian vectors," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 193-203, September.
  6. Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
  7. Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive Semiparametric Estimation of the Memory Parameter," Journal of Multivariate Analysis, Elsevier, vol. 72(2), pages 183-207, February.
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