Filtered Log-periodogram Regression of long memory processes


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FENG, Yuanhua, Jan BERAN, 2008. Filtered Log-periodogram Regression of long memory processes

@techreport{Feng2008Filte-614, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Filtered Log-periodogram Regression of long memory processes}, year={2008}, number={2008/10}, author={Feng, Yuanhua and Beran, Jan} }

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:abstract xml:lang="eng">Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d 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.</dcterms:abstract> <dcterms:issued>2008</dcterms:issued> <dcterms:rights rdf:resource=""/> <dc:creator>Beran, Jan</dc:creator> <dc:language>eng</dc:language> <dc:date rdf:datatype="">2011-03-22T17:45:14Z</dc:date> <dc:rights>deposit-license</dc:rights> <dcterms:available rdf:datatype="">2011-03-22T17:45:14Z</dcterms:available> <dc:creator>Feng, Yuanhua</dc:creator> <dc:format>application/pdf</dc:format> <bibo:uri rdf:resource=""/> <dcterms:title>Filtered Log-periodogram Regression of long memory processes</dcterms:title> <dc:contributor>Feng, Yuanhua</dc:contributor> <dc:contributor>Beran, Jan</dc:contributor> </rdf:Description> </rdf:RDF>

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