IDEAS home Printed from https://ideas.repec.org/p/ehl/lserod/2082.html
   My bibliography  Save this paper

Adaptive semiparametric estimation of the memory parameter

Author

Listed:
  • Giraitis, Liudas
  • Robinson, Peter M.
  • Samarov, Alexander

Abstract

No abstract is available for this item.

Suggested Citation

  • Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive semiparametric estimation of the memory parameter," LSE Research Online Documents on Economics 2082, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2082
    as

    Download full text from publisher

    File URL: http://eprints.lse.ac.uk/2082/
    File Function: Open access version.
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:cte:wsrepe:4554 is not listed on IDEAS
    2. Liudas Giraitis & Peter M. Robinson & Alexander Samarov, 1997. "Rate Optimal Semiparametric Estimation Of The Memory Parameter Of The Gaussian Time Series With Long‐Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(1), pages 49-60, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    2. Duncan A J Blythe & Vadim V Nikulin, 2017. "Long-range temporal correlations in neural narrowband time-series arise due to critical dynamics," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-28, May.
    3. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    4. Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long‐memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
    5. Saeed Heravi & Kerry Patterson, 2005. "Optimal And Adaptive Semi‐Parametric Narrowband And Broadband And Maximum Likelihood Estimation Of The Long‐Memory Parameter For Real Exchange Rates," Manchester School, University of Manchester, vol. 73(2), pages 165-213, March.
    6. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    7. Masaki Narukawa & Yasumasa Matsuda, 2008. "Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach," TERG Discussion Papers 239, Graduate School of Economics and Management, Tohoku University.
    8. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    9. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, University Library of Munich, Germany.
    11. Grace Yap & Wen Cheong Chin, 2016. "Spectral bandwidth selection for long memory," Modern Applied Science, Canadian Center of Science and Education, vol. 10(8), pages 1-63, August.
    12. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    13. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    14. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    15. Bardet Jean-Marc & Dola Béchir, 2016. "Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 115-153, July.
    16. Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe, 2002. "The FEXP estimator for potentially non-stationary linear time series," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 307-340, February.
    17. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    3. Claudio Michelacci, 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Working Papers wp1999_9906, CEMFI.
    4. Javier Hidalgo & Philippe Soulier, 2004. "Estimation of the location and exponent of the spectral singularity of a long memory process," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 55-81, January.
    5. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    6. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
    7. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
    8. Michelacci, Claudio, 2004. "Cross-sectional heterogeneity and the persistence of aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1321-1352, October.
    9. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
    10. Geoffrey Ducournau, 2021. "Symbol Dynamics, Information theory and Complexity of Economic time series," Papers 2105.04131, arXiv.org.
    11. Javier Hidalgo, 2005. "Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole," STICERD - Econometrics Paper Series 481, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    13. Gabriel Lang & François Roueff, 2001. "Semi-parametric Estimation of the Hölder Exponent of a Stationary Gaussian Process with Minimax Rates," Statistical Inference for Stochastic Processes, Springer, vol. 4(3), pages 283-306, October.
    14. Takeshi Kato & Elias Masry, 2003. "A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 679-703, November.
    15. Carlos Velasco, 2003. "Gaussian Semi‐parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.
    16. Feng, Yuanhua & Beran, Jan, 2008. "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Papers 08/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    17. J. Hidalgo & Y. Yajima, 2003. "Semiparametric estimation of the long-range parameter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 705-736, December.
    18. repec:cte:wsrepe:4554 is not listed on IDEAS
    19. Faÿ, Gilles, 2010. "Moment bounds for non-linear functionals of the periodogram," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 983-1009, June.
    20. 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.

    More about this item

    Keywords

    Long range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ehl:lserod:2082. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: LSERO Manager (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.