Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32171 
Year of Publication: 
2008
Series/Report no.: 
CoFE Discussion Paper No. 08/10
Publisher: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Abstract: 
Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on ˆd 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

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