Search Results - subject:"Fractionally integrated processes"

Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter

Jensen, Mark J - Volkswirtschaftliche Fakultät, … - 1999

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

Persistent link: https://www.econbiz.de/10011112113

Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter

Jensen, Mark J. - EconWPA - 1997

Persistent link: https://www.econbiz.de/10005407950

OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels

Jensen, Mark J. - EconWPA - 1995

This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using … variance of the wavelet coefficient and the level at which the fractionally integrated processes is smoothed. This linear …

Persistent link: https://www.econbiz.de/10005119157