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

Statistics and Probability Letters

Volumn 61, Issue 3, 2003, Pages 261-268

  Sibbertsen, Philipp ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Log periodogram regression; Long memory; Trends

Indexed keywords

EID: 0037307569     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(02)00358-9     Document Type: Article

References (8)

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3. Heyde, C., Dai, W., 1996. On the robustness to small trends of estimation based on the smoothed periodogram. J. Time Ser. Anal. 17, 141-150.
4. Hurvich, C., Ray, B., 1995. Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. J. Time Ser. Anal. 16, 17-42.
5. Hurvich, C., Deo, R., Brodsky, J., 1998. The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. J. Time Ser. Anal. 19, 19-46.
6. Künsch, H., 1986. Discrimination between monotonic trends and long range dependence. J. Appl. Probab. 23, 1025-1030.
7. Sibbertsen, P., 2001. Long memory versus structural breaks: an overview. Technical Report 28/2001, SFB 475, University of Dortmund, Germany.
8. Velasco, C., 1999. Non-stationary log-periodogram regression. J. Econometrics 91, 325-371.