Search Results - subject:"periodogram regression"

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

Sibbertsen, Philipp - In: Statistics & Probability Letters 61 (2003) 3, pp. 261-268

We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long-memory process do not confuse small trends with long-range dependence. In the case of slowly decaying trends we show by Monte Carlo methods that the tapered periodogram is quite robust against...

Persistent link: https://www.econbiz.de/10005223793

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1157-1157

It has been argued by several authors that the inflationary dynamics in Brazil follow a unit root process, thus displaying some inertia. Indeed, Cati, et al. (Journal of Applied Econometrics, 1999) have found that the inflationary dynamics in Brazil are nearly fully inertial. We estimate the...

Persistent link: https://www.econbiz.de/10005246285

Estimating long-range dependence: finite sample properties and confidence intervals

Weron, Rafał - In: Physica A: Statistical Mechanics and its Applications 312 (2002) 1, pp. 285-299

simulated series of different lengths. We test R/S analysis, Detrended Fluctuation Analysis and periodogram regression methods … authors for the R/S statistics and are very close to asymptotic values for the periodogram regression method. …

Persistent link: https://www.econbiz.de/10011064581

THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

Lieberman, Offer - In: Econometric Reviews 20 (2001) 3, pp. 369-383

Gaussian noise process. The results are then applied in deriving the exact bias of the log-periodogram regression estimator …

Persistent link: https://www.econbiz.de/10005644494

Estimating long range dependence: finite sample properties and confidence intervals

Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2001

values proposed by some authors for the R/S statistics and are very close to asymptotic values for the periodogram regression … accuracy by using simulated series of different lengths. We test R/S analysis, Detrended Fluctuation Analysis and periodogram … regression methods on samples drawn from Gaussian white noise. The DFA statistics turns out to be the unanimous winner …

Persistent link: https://www.econbiz.de/10009003603