Trimming frequencies in log-periodogram regression of long memory time series

Cristina Martínez

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Previous work on log-periodogram regression in time series with long range dependence is reviewed. The effect of both low and large frequencies on the estimate of the fractional difference parameter is analyzed. Some new simulation results are presented.

Keywords: Autocorrelation; function; Fractional; ARIMA; models (search for similar items in EconPapers)
Date: 1996-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10428

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