Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32171 
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dc.contributor.authorFeng, Yuanhuaen
dc.contributor.authorBeran, Janen
dc.date.accessioned2009-09-17-
dc.date.accessioned2010-05-14T12:00:38Z-
dc.date.available2010-05-14T12:00:38Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:bsz:352-opus-116770en
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 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.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x08/10en
dc.subject.ddc330en
dc.subject.keywordFilteringen
dc.subject.keywordlog-periodogram regressionen
dc.subject.keywordlocal pre-whiteningen
dc.subject.keywordfractional differencing parameteren
dc.subject.keywordlong memoryen
dc.titleFiltered Log-periodogram Regression of long memory processes-
dc.type|aWorking Paperen
dc.identifier.ppn608957321en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0810-

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