THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

DOI10.1081/ETC-100104940zbMath1077.62533MaRDI QIDQ4471129

Offer Lieberman

Publication date: 18 June 2004

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

zbMATH Keywords

ARFIMA, Chi-square distribution, Log-periodogram regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15)

Related Items (3)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ Bias Correction of Persistence Measures in Fractionally Integrated Models ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP

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