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Log-periodogram estimation of the memory parameter of a long-memory process under trend

  • Sibbertsen, Philipp

We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long-memory process do not confuse small trends with long-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and reduces the bias obtained when employing the standard log-periodogram estimator. Thus, comparing the tapered and the non-tapered estimator gives a tool at hand for distinguishing slowly decaying trends and long-range dependence.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 61 (2003)
Issue (Month): 3 (February)
Pages: 261-268

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Handle: RePEc:eee:stapro:v:61:y:2003:i:3:p:261-268
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  1. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
  2. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
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