Adaptive Semiparametric Estimation of the Memory Parameter
In Giraitis, Robinson, and Samarov (1997), we have shown that the optimal rate for memory parameter estimators in semiparametric long memory models with degree of "local smoothness" [beta] is n-r([beta]), r([beta])=[beta]/(2[beta]+1), and that a log-periodogram regression estimator (a modified Geweke and Porter-Hudak (1983) estimator) with maximum frequency m=m([beta])[asymptotically equal to]n2r([beta]) is rate optimal. The question which we address in this paper is what is the best obtainable rate when [beta] is unknown, so that estimators cannot depend on [beta]. We obtain a lower bound for the asymptotic quadratic risk of any such adaptive estimator, which turns out to be larger than the optimal nonadaptive rate n-r([beta]) by a logarithmic factor. We then consider a modified log-periodogram regression estimator based on tapered data and with a data-dependent maximum frequency m=m([beta]), which depends on an adaptively chosen estimator [beta] of [beta], and show, using methods proposed by Lepskii (1990) in another context, that this estimator attains the lower bound up to a logarithmic factor. On one hand, this means that this estimator has nearly optimal rate among all adaptive (free from [beta]) estimators, and, on the other hand, it shows near optimality of our data-dependent choice of the rate of the maximum frequency for the modified log-periodogram regression estimator. The proofs contain results which are also of independent interest: one result shows that data tapering gives a significant improvement in asymptotic properties of covariances of discrete Fourier transforms of long memory time series, while another gives an exponential inequality for the modified log-periodogram regression estimator.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 72 (2000)
Issue (Month): 2 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
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.:
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:72:y:2000:i:2:p:183-207. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.