@techreport{Feng2008Filtered,
abstract = {Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on  d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening.},
address = {Konstanz},
author = {Yuanhua Feng and Jan Beran},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Filtering; log-periodogram regression; local pre-whitening; fractional differencing parameter; long memory},
language = {eng},
number = {2008,10},
publisher = {CoFE},
title = {Filtered Log-periodogram Regression of long memory processes},
type = {Discussion paper series // Zentrum f\"{u}r Finanzen und \"{O}konometrie, Universit\"{a}t Konstanz},
url = {http://hdl.handle.net/10419/32171},
year = {2008}
}
