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Bootstrapping the log-periodogram estimator of the long-memory parameter: is it worth weighting?

Author

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  • Saeed M. Heravi
  • Kerry D. Patterson

Abstract

Estimation of the long-memory parameter from the log-periodogram (LP) regression, due to Geweke and Porter-Hudak (GPH), is a simple and frequently used method of semi-parametric estimation. However, the simple LP estimator suffers from a finite sample bias that increases with the dependency in the short-run component of the spectral density. More recently, Arteche and Orbe (2009a, 2009b), in the context of the GPH estimator, suggested a promising bootstrap method, based on the frequency domain, to obtain the RMSE value of the frequency bandwidth, m, that avoids estimating the unknown parameter. We extend this bootstrap method to the AG and WLP estimators and to consideration of bootstrapping in the frequency domain (FD) and the time domain (TD) and, in each case, to 'blind' and 'local' versions. We undertake a comparative simulation analysis of these methods for relative performance on the dimensions of bias, RMSE, confidence interval width and fidelity.

Suggested Citation

  • Saeed M. Heravi & Kerry D. Patterson, 2021. "Bootstrapping the log-periodogram estimator of the long-memory parameter: is it worth weighting?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 11(3), pages 201-221.
    • Handle: RePEc:ids:ijcome:v:11:y:2021:i:3:p:201-221
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