A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model+ We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak ~1983, Journal of Time Series Analysis 4, 221–238!+ Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be...

Log-periodogram regression in asymmetric long memory

Filtered Log-periodogram Regression of long memory processes

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d̂ is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically ...

Bootstrapping the log-periodogram regression

Semiparametric estimation of the memory parameter in economic time series raises the problem of the small sample size and the poor approximation of the asymptotic distribution to the finite sample counterpart. This paper considers the bootstrap to improve the finite sample distribution of the popular log peridogram regression and shows that it can significantly reduce the error in the coverage ...

Wavelet Transform for Log Periodogram Regression in Long Memory Stochastic Volatility Model

We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983; GPH) LP estimator violates the Gaussian or Martingale assumption, which results in significant negative bias due to the existence of the spectrum of non-G...