Bootstrap-based bandwidth choice for log-periodogram regression

Josu Arteche and Jesus Orbe

Journal of Time Series Analysis, 2009, vol. 30, issue 6, pages 591-617

Abstract: The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data-driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean-squared error (MSE). Its behaviour is compared with other existing techniques for optimal bandwidth selection in a MSE sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analysed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins. Copyright 2009 Blackwell Publishing Ltd

Date: 2009

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2009.00629.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:6:p:591-617

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Blackwell Publishing
Series data maintained by Christopher F. Baum ().