A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

DOI10.1111/1468-0262.00420zbMath1153.62354OpenAlexW2141689601MaRDI QIDQ5472965

Donald W. K. Andrews, Patrik Guggenberger

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1263.pdf

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

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