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Wavelet Analysis of Fractionally Integrated Processes

Author

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  • Mark J. Jensen

    (Washington University)

Abstract

In this paper we apply wavelet analysis to the class of fractionally integrated processes to show that this class is a member of the $1/f$ family of processes as defined by Wornell (1993) and to produce an alternative method of estimating the fractional differencing parameter. Currently the method by Geweke and Porter-Hudak (1983) is used most often to estimate and test the fractional differencing parameter. The GPH approach, however, has been shown to have poor statistical properties and suffers from subjective decisions that the users must make. The wavelet analysis estimate of the fractional differencing parameter is shown to be more straightforward and to provide results that are more robust than the GPH method. Keywords: Long-Memory, Wavelets, Spectral Analysis, $1/f$ Processes. Document is a 26 page uuencoded postscript file that contains figures

Suggested Citation

  • Mark J. Jensen, 1994. "Wavelet Analysis of Fractionally Integrated Processes," Econometrics 9405001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9405001
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    Citations

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    Cited by:

    1. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
    2. Mohamed Boutahar & Velayoudom Marimoutou & Leila Nouira, 2007. "Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(3), pages 261-301.
    3. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 187-212, October.

    More about this item

    Keywords

    long-memory; wavelets; spectral analysis; $1/f$ processes. document is a 26 page uuencoded postscript file that contains figures;
    All these keywords.

    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

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