Log-periodogram estimation of the memory parameter of a long-memory process under trend

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.

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Year of publication:	2001
Authors:	Sibbertsen, Philipp
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Long-memory \| trends \| log-periodogram regression

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2001,39
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010955400