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dc.contributor.authorFeng, Yuanhuaen_US
dc.contributor.authorBeran, Janen_US
dc.date.accessioned2009-09-17en_US
dc.date.accessioned2010-05-14T12:00:38Z-
dc.date.available2010-05-14T12:00:38Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-116770-
dc.identifier.urihttp://hdl.handle.net/10419/32171-
dc.description.abstractFiltered 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.en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,10en_US
dc.subject.ddc330en_US
dc.subject.keywordFilteringen_US
dc.subject.keywordlog-periodogram regressionen_US
dc.subject.keywordlocal pre-whiteningen_US
dc.subject.keywordfractional differencing parameteren_US
dc.subject.keywordlong memoryen_US
dc.titleFiltered Log-periodogram Regression of long memory processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608957321en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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