Consistent estimation of the memory parameterfor nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogramand local Whittle estimators, has been exhaustively examined and their properties are well established.However, except for some specific cases, little is known about the estimation of the memory parameter fornonlinear processes. The purpose of this paper is to provide general conditions under which the localWhittle estimator of the memory parameter of a stationary process is consistent and to examine its rate ofconvergence. We show that these conditions are satisfied for linear processes and a wide class of nonlinearmodels, among others, signal plus noise processes, nonlinear transforms of a Gaussian process ?tandEGARCH models. Special cases where the estimator satisfies the central limit theorem are discussed. Thefinite sample performance of the estimator is investigated in a small Monte-Carlo study.

Keywords: Long memory; semiparametric estimation; local Whittle estimator. (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2006-01
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:497

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