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Title:Filtered Log-periodogram Regression of long memory processes PDF Logo
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 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:urn:nbn:de:bsz:352-opus-116770
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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