Search Results - subject:"Whittle estimator"

Testing the law of one-price in the US gasoline market : a long memory approach

Barassi, Marco R.; De Pascale, Gianluigi; Lagravinese, … - 2021

Persistent link: https://www.econbiz.de/10012659472

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

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 …

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

Estimation of long memory in integrated variance

Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2011

A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...

Persistent link: https://www.econbiz.de/10008915798

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

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 … regularity assumptions, the parameters 0 and 0 can be consistently estimated by the parametric Whittle estimator. Hannan (1973 … Gaussian and linear processes, the Whittle estimator is known to be n1=2-consistent and asymptotically normal. For 0 0, this …

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

A parametric bootstrap test for cycles

Dalla, Violetta; Hidalgo, Javier - London School of Economics (LSE) - 2005

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G(τ), τ ∈ [0; 1]. Because the covariance structure of G(τ) is a...

Persistent link: https://www.econbiz.de/10011071202