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REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES

Uwe Hassler

Journal of Time Series Analysis, 1993, vol. 14, issue 4, 369-380

Abstract: Abstract. Assuming a normal distribution we supplement the proof of periodogram regression suggested by Geweke and Porter‐Hudak (J. Time Ser. Anal. 4 (1983) 221–38) in order to estimate and test the difference parameter of fractionally integrated autoregressive moving‐average models. The procedure proposed by Kashyap and Eom (J. Time Ser. Anal. 9 (1988) 35–41) arises as a special case and is found to be correct if the true parameter value is negative. Regression of the smoothed periodogram yields estimators for the difference parameter with much faster vanishing variance; no asymptotic distribution can be derived, however. In computer experiments we find that the smoothed periodogram regression may be superior to pure periodogram regression when we have to discriminate between autoregression and fractional integration

Date: 1993
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