Inference on the long-memory properties of time series with non-stationary volatility

Matei Demetrescu and Philipp Sibbertsen

Economics Letters, 2016, vol. 144, issue C, 80-84

Abstract: Time-varying volatility is often present in time series data and can have adverse effects when inferring about the persistence properties of examined series. This note analyzes the effects of such nonstationarity on periodogram-based inference for the fractional integration parameter. Based on asymptotic arguments and Monte Carlo simulations, we show that the log-periodogram regression estimator remains consistent, but has asymptotic distribution whose variance depends on the variation of the volatility of the series.

Keywords: Time-varying variance; Heteroskedasticity; Persistence; Fractional integration; Modulated process (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2016
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Related works:
Working Paper: Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:144:y:2016:i:c:p:80-84

DOI: 10.1016/j.econlet.2016.04.034

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