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Trimming frequencies in log-periodogram regression of long memory time series

Author

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  • Martínez, Cristina
  • Velilla Cerdan, Santiago

Abstract

Previous work on log-periodogram regression in time series with long range dependence is reviewed. The effect of both low and large frequencies on the estimate of the fractional difference parameter is analyzed. Some new simulation results are presented.

Suggested Citation

  • Martínez, Cristina & Velilla Cerdan, Santiago, 1996. "Trimming frequencies in log-periodogram regression of long memory time series," DES - Working Papers. Statistics and Econometrics. WS 10428, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:10428
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    References listed on IDEAS

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    1. Christos Agiakloglou & Paul Newbold & Mark Wohar, 1993. "Bias In An Estimator Of The Fractional Difference Parameter," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(3), pages 235-246, May.
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