Search Results - subject:"Local Whittle estimator"

Consistent estimation of the memory parameterfor nonlinear time series

Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2006

memory parameter Keywords and phrases: Long memory, semiparametric estimation, local Whittle estimator. Corresponding Author … Phillips (2003) and for the local Whittle estimator by Hurvich, Moulines and Soulier (2005) and Arteche (2004). 1 The main … which the local Whittle estimator is a consistent estimator of the memory parameter 0 and to investigate its rate of …

Persistent link: https://www.econbiz.de/10005797497

Consistent estimation of the memory parameterfor nonlinear time series

Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2006

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand local Whittle estimators, has been exhaustively examined and their properties are well established.However, except for some specific cases, little is known about the estimation of the memory...

Persistent link: https://www.econbiz.de/10005670804