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Feng, Yuanhua
Beran, Jan
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Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,10
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.
log-periodogram regression
local pre-whitening
fractional differencing parameter
long memory
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Working Paper

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