Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32171
Authors: 
Feng, Yuanhua
Beran, Jan
Year of Publication: 
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 ˆ 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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
190.27 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.