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A New Method For Estimating The Order Of Integration Of Fractionally Integrated Processes Using Bispectra

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  • Mehmet Dalkir

    (University of Kansas)

Abstract

The 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.

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File URL: http://128.118.178.162/eps/em/papers/0507/0507001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0507001.

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Length: 9 pages
Date of creation: 07 Jul 2005
Date of revision: 07 Jul 2005
Handle: RePEc:wpa:wuwpem:0507001

Note: Type of Document - pdf; pages: 9
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Web page: http://128.118.178.162

Related research

Keywords: Bispectrum; frequency domain; estimation; long memory;

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  1. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-72, March.
  2. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  3. 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.
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  5. 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.
  6. repec:cup:macdyn:v:2:y:1998:i:1:p:49-71 is not listed on IDEAS
  7. 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.
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