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Adaptive semiparametric estimation of the memory parameter

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  • Giraitis, Liudas
  • Robinson, Peter M.
  • Samarov, Alexander

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  • Giraitis, Liudas & Robinson, Peter M. & Samarov, Alexander, 2000. "Adaptive semiparametric estimation of the memory parameter," LSE Research Online Documents on Economics 2082, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2082
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    File URL: http://eprints.lse.ac.uk/2082/
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    References listed on IDEAS

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    1. Liudas Giraitis & Peter M. Robinson & Alexander Samarov, 1997. "Rate Optimal Semiparametric Estimation Of The Memory Parameter Of The Gaussian Time Series With Long‐Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(1), pages 49-60, January.
    2. repec:cte:wsrepe:4554 is not listed on IDEAS
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    Cited by:

    1. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    2. Duncan A J Blythe & Vadim V Nikulin, 2017. "Long-range temporal correlations in neural narrowband time-series arise due to critical dynamics," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-28, May.
    3. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    4. Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long‐memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
    5. Saeed Heravi & Kerry Patterson, 2005. "Optimal And Adaptive Semi‐Parametric Narrowband And Broadband And Maximum Likelihood Estimation Of The Long‐Memory Parameter For Real Exchange Rates," Manchester School, University of Manchester, vol. 73(2), pages 165-213, March.
    6. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    7. Masaki Narukawa & Yasumasa Matsuda, 2008. "Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach," TERG Discussion Papers 239, Graduate School of Economics and Management, Tohoku University.
    8. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    9. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, University Library of Munich, Germany.
    11. Grace Yap & Wen Cheong Chin, 2016. "Spectral bandwidth selection for long memory," Modern Applied Science, Canadian Center of Science and Education, vol. 10(8), pages 1-63, August.
    12. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    13. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    14. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    15. Bardet Jean-Marc & Dola Béchir, 2016. "Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 115-153, July.
    16. Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe, 2002. "The FEXP estimator for potentially non-stationary linear time series," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 307-340, February.
    17. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

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    More about this item

    Keywords

    Long range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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