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https://hdl.handle.net/10419/32171
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Feng, Yuanhua | en |
dc.contributor.author | Beran, Jan | en |
dc.date.accessioned | 2009-09-17 | - |
dc.date.accessioned | 2010-05-14T12:00:38Z | - |
dc.date.available | 2010-05-14T12:00:38Z | - |
dc.date.issued | 2008 | - |
dc.identifier.pi | urn:nbn:de:bsz:352-opus-116770 | en |
dc.identifier.uri | http://hdl.handle.net/10419/32171 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanz | en |
dc.relation.ispartofseries | |aCoFE Discussion Paper |x08/10 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Filtering | en |
dc.subject.keyword | log-periodogram regression | en |
dc.subject.keyword | local pre-whitening | en |
dc.subject.keyword | fractional differencing parameter | en |
dc.subject.keyword | long memory | en |
dc.title | Filtered Log-periodogram Regression of long memory processes | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 608957321 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cofedp:0810 | - |
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