The estimation of misspecified long memory models

Peter M. Robinson

Journal of Econometrics, 2014, vol. 178, issue P2, 225-230

Abstract: We consider time series that, possibly after integer differencing or integrating or other detrending, are covariance stationary with spectral density that is regularly varying near zero frequency, and unspecified elsewhere. This semiparametric framework includes series with short, long and negative memory. We consider the consistency of the popular log-periodogram memory estimate that, conventionally but wrongly, assumes the spectral density obeys a pure power law. The local-to zero misspecification leads to increased bias, such that the usual central limit theorem may only hold for bandwidths entailing considerable imprecision. The order of the bias is calculated for several slowly-varying factors, and some discussion of mean squared error and bandwidth choice is included.

Keywords: Long memory; Slowly-varying function; Log-periodogram estimate (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p2:p:225-230

DOI: 10.1016/j.jeconom.2013.08.023

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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