IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Consistent estimation of the memory parameterfor nonlinear time series

  • Violetta Dalla
  • Liudas Giraitis
  • Javier Hidalgo

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand local Whittle estimators, has been exhaustively examined and their properties are well established.However, except for some specific cases, little is known about the estimation of the memory parameter fornonlinear processes. The purpose of this paper is to provide general conditions under which the localWhittle estimator of the memory parameter of a stationary process is consistent and to examine its rate ofconvergence. We show that these conditions are satisfied for linear processes and a wide class of nonlinearmodels, among others, signal plus noise processes, nonlinear transforms of a Gaussian process ?tandEGARCH models. Special cases where the estimator satisfies the central limit theorem are discussed. Thefinite sample performance of the estimator is investigated in a small Monte-Carlo study

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.

File URL: http://sticerd.lse.ac.uk/dps/em/EM2006497.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify ()


Download Restriction: no

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /06/497.

as
in new window

Length:
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:cep:stiecm:/06/497
Contact details of provider: Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cep:stiecm:/06/497. 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: ()

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.