A New Method For Estimating The Order Of Integration Of Fractionally Integrated Processes Using Bispectra
AbstractThe method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content compared to the Geweke-Porter-Hudak method. The bispectrum method is an alternative to the recently proposed wavelet method that transforms the original series into time-frequency (or time-scale) space.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0507001.
Length: 9 pages
Date of creation: 07 Jul 2005
Date of revision: 07 Jul 2005
Note: Type of Document - pdf; pages: 9
Contact details of provider:
Web page: http://126.96.36.199
Bispectrum; frequency domain; estimation; long memory;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
- Glenn D. Rudebusch, 1992.
"The uncertain unit root in real GNP,"
Finance and Economics Discussion Series
193, Board of Governors of the Federal Reserve System (U.S.).
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- repec:cup:macdyn:v:2:y:1998:i:1:p:49-71 is not listed on IDEAS
- Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
- Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.