Temporal Aggregation and Bandwidth Selection in Estimating Long Memory
This article aims at showing that a temporal aggregation and a specific bandwidth reduction lead to the same asymptotic properties in estimating long memory by Geweke and Porter-Hudak's [Journal of Time Series Analysis (1983) vol. 4, pp. 221-237] and Robinson's [Annals of Statistics (1995b) vol. 23, pp. 1630-1661] estimators. In other words, irrespective of the level of temporal aggregation, the asymptotic properties of the estimator are uniquely determined by the number of periodogram ordinates used in the estimation, provided some mild additional assumptions are imposed. Monte Carlo simulations show that this result is a good approximation in finite samples. A real example with the daily US Dollar/French Franc exchange rate series is also provided. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.
(This abstract was borrowed from another version of this item.)
|Date of creation:||30 Mar 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://epge.fgv.br
More information through EDIRC
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.:
- Lo, Andrew W. (Andrew Wen-Chuan), 1989.
"Long-term memory in stock market prices,"
3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
- Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in Arfima Models," The Warwick Economics Research Paper Series (TWERPS) 442, University of Warwick, Department of Economics.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
- Chambers, Marcus J, 1998.
"Long Memory and Aggregation in Macroeconomic Time Series,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
- Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
- Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
- Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
- Diebold, Francis X. & Rudebusch, Glenn D., 1989.
"Long memory and persistence in aggregate output,"
Journal of Monetary Economics,
Elsevier, vol. 24(2), pages 189-209, September.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
When requesting a correction, please mention this item's handle: RePEc:fgv:epgewp:478. 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: (Núcleo de Computação da EPGE)
If references are entirely missing, you can add them using this form.