Pooled Log Periodogram Regression

DOI10.1111/1467-9892.00575zbMath0991.62070OpenAlexW3124404470MaRDI QIDQ4544839

Peter C. B. Phillips, Katsumi Shimotsu

Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1267.pdf

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (8)

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Long memory and data frequency in financial markets ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Moment bounds for non-linear functionals of the periodogram ⋮ Filtered log-periodogram regression of long memory processes ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ Multivariate modelling of long memory processes with common components ⋮ Tests of bias in log-periodogram regression

Cites Work

• Discrimination between monotonic trends and long-range dependence
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

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