Filtered Log-periodogram Regression of long memory processes

Jan Beran () and Yuanhua Feng ()
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Jan Beran: Universität Konstanz

No 08-10, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

Abstract: Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on ˆ d 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 correct with probability one. The idea is closely related to the well known technique of pre-whitening.

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Date: 2008-11-01
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