Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77150
Authors: 
Sibbertsen, Philipp
Year of Publication: 
2001
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2001,39
Abstract: 
We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.
Subjects: 
Long-memory
trends
log-periodogram regression
JEL: 
C14
C22
Document Type: 
Working Paper

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