Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
Josu Arteche and
Carlos Velasco
Journal of Time Series Analysis, 2005, vol. 26, issue 4, 581-611
Abstract:
Abstract. This paper considers semi‐parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment of different tapering schemes and of the log‐periodogram regression and Gaussian semi‐parametric estimates of the memory parameters. Tapering allows for a less restrictive trimming of frequencies for the analysis of the asymptotic properties of both estimates when allowing for asymmetries. Simple rules for inference are feasible thanks to tapering and their validity in finite samples is investigated in a simulation exercise and for an empirical example.
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)
Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2005.00431.x
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:4:p:581-611
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782
Access Statistics for this article
Journal of Time Series Analysis is currently edited by M.B. Priestley
More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().