BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

DOI10.1017/S0266466606060403zbMath1125.62108MaRDI QIDQ3408524

Yixiao Sun, Patrik Guggenberger

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (4)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Using the bootstrap for finite sample confidence intervals of the log periodogram regression ⋮ Estimation of fractional integration under temporal aggregation ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications

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