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http://hdl.handle.net/10419/32171
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| Title: | | Filtered Log-periodogram Regression of long memory processes  |
| Authors: | | Feng, Yuanhua Beran, Jan |
| Issue Date: | | 2008 |
| Series/Report no.: | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,10 |
| 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. |
| Subjects: | | Filtering log-periodogram regression local pre-whitening fractional differencing parameter long memory |
| Document Type: | | Working Paper |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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