Log-periodogram estimation of the memory parameter of a long-memory process under trend
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- Sibbertsen, Philipp, 2001. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports 2001,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
References listed on IDEAS
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
- Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Clifford M. Hurvich & Bonnie K. Ray, 1995. "Estimation Of The Memory Parameter For Nonstationary Or Noninvertible Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 17-41, January.
- C. C. Heyde & W. Dai, 1996. "On The Robustness To Small Trends Of Estimation Based On The Smoothed Periodogram," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(2), pages 141-150, March.
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Cited by:
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
- Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-13.
- Philipp Sibbertsen, 2004.
"Long memory in volatilities of German stock returns,"
Empirical Economics, Springer, vol. 29(3), pages 477-488, September.
- Sibbertsen, Philipp, 2001. "Long-memory in volatilities of German stock returns," Technical Reports 2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
- Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
- repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
- Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
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Keywords
Long memory Trends Log-periodogram regression;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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