Selection of the number of frequencies using bootstrap techniques in log-periodogram regression

Josu Arteche and Jesus Orbe

BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

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 and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error 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 analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins.

Keywords: Bootstrap; long memory; log-periodogram regression; bandwidth selection (search for similar items in EconPapers)
JEL-codes: C15 C22 C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2008-02-28

Downloads: (external link)
http://www.ea3.ehu.es/s0038-con/es/contenidos/info ... djuntos/dt200801.pdf (application/pdf)

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:ehu:biltok:200801

Ordering information: This working paper can be ordered from
Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

Access Statistics for this paper

More papers in BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)
Contact information at EDIRC.
Series data maintained by Ainhoa Zarraga ().