Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach
This paper proposes a semiparametric estimator of the long-memory parameter to fit a fractional exponential (FEXP) model by a likelihood-based approach. We establish that our proposed estimator is more efficient than the FEXP estimator proposed independently by Moulines and Soulier (1999) and Hurvuch and Brodsky (2001), and has the same asymptotic variance as the fractionally differenced autoregressive (FAR) estimator proposed by Bhansali et al. (2006) without pooling the periodogram. The Monte Carlo studies suggest that our estimator outperforms the FEXP estimator or is not inferior to the Gaussian semiparametric estimator (GSE) and will be also empirically effective in non-Gaussian processes.
|Date of creation:||Nov 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.econ.tohoku.ac.jp/econ/english/index.htmlEmail:
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.:
- Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive Semiparametric Estimation of the Memory Parameter," Journal of Multivariate Analysis, Elsevier, vol. 72(2), pages 183-207, February.
- Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005.
"Estimating Long Memory in Volatility,"
Econometric Society, vol. 73(4), pages 1283-1328, 07.
- Fay, Gilles & Soulier, Philippe, 2001. "The periodogram of an i.i.d. sequence," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 315-343, April.
- Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(01), pages 44-79, February.
- Francis X. Diebold & Glenn D. Rudebusch, 1990.
"On the power of Dickey-Fuller tests against fractional alternatives,"
Finance and Economics Discussion Series
119, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
- Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
- Soulier, Philippe, 2001. "Moment bounds and central limit theorem for functions of Gaussian vectors," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 193-203, September.
When requesting a correction, please mention this item's handle: RePEc:toh:tergaa:239. 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: (Tohoku University Library)
If references are entirely missing, you can add them using this form.