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Filtered Log-periodogram Regression of long memory processes

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  • Feng, Yuanhua
  • Beran, Jan

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.

Suggested Citation

  • Feng, Yuanhua & Beran, Jan, 2008. "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Papers 08/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0810
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    References listed on IDEAS

    as
    1. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(1), pages 44-79, February.
    2. Clifford M. Hurvich & Kaizo I. Beltrao, 1994. "Automatic Semiparametric Estimation Of The Memory Parameter Of A Long‐Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 285-302, May.
    3. 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.
    4. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
    5. Katsumi Shimotsu & Peter C. B. Phillips, 2002. "Pooled Log Periodogram Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(1), pages 57-93, January.
    6. 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.
    7. John Geweke & Susan Porter‐Hudak, 1983. "The Estimation And Application Of Long Memory Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 221-238, July.
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