Search Results - subject:"Local Whittle estimator"

ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series

Jibrin, Sanusi A.; Musa, Yakubu; Zubair, Umar A.; … - In: CBN Journal of Applied Statistics 06 (2015) 2, pp. 59-79

differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the …

Persistent link: https://www.econbiz.de/10011482618

ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series

Jibrin, Sanusi A.; Musa, Yakubu; Zubair, Umar A.; … - In: CBN journal of applied statistics 6 (2015) 2, pp. 59-79

differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the …

Persistent link: https://www.econbiz.de/10011460488

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Poskitt, D.S.; Martin, Gael M.; Grose, Simone D. - Department of Econometrics and Business Statistics, … - 2014

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric...

Persistent link: https://www.econbiz.de/10010958954

Fractional integration versus structural change : testing the convergence of CO2 emissions

Barassi, Marco R.; Spagnolo, Nicola; Zhao, Yuqian - In: Environmental & resource economics : the official … 71 (2018) 4, pp. 923-968

Persistent link: https://www.econbiz.de/10012023534

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - Dipartimento di Scienze Economiche e Aziendali, … - 2012

Whittle estimator of Hurvich et al. (2005) is much less biased than the standard local Whittle estimator and the empirical … the semiparametric estimates of the long memory. A Monte Carlo simulation provides evidence that the corrected local …

Persistent link: https://www.econbiz.de/10010592258

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Poskitt, D.S.; Martin, Gael M.; Grose, Simone D. - Department of Econometrics and Business Statistics, … - 2012

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-filtered by a preliminary semi-parametric...

Persistent link: https://www.econbiz.de/10010542338

Residual-based tests for fractional cointegration : testing the term structure of interest rates

Zhang, Dayong; Barassi, Marco R.; Tan, Jijun - In: Econometric reviews 34 (2015) 6/10, pp. 1118-1140

Persistent link: https://www.econbiz.de/10011483452

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814

Persistent link: https://www.econbiz.de/10010363876

The effect of round-off error on long memory processes

La Spada, Gabriele; Lillo, Fabrizio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 445-482

Persistent link: https://www.econbiz.de/10010461206

Consistent estimation of the memory parameter for nonlinear time series

Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier - London School of Economics (LSE) - 2006

general conditions under which the local Whittle estimator of the memory parameter of a stationary process is consistent and …

Persistent link: https://www.econbiz.de/10011071286