Spectral bandwidth selection for long memory

Grace Yap and Wen Cheong Chin

Modern Applied Science, 2016, vol. 10, issue 8, 63

Abstract: Long-memory parameter estimation using log-periodogram regression relies largely on the frequency bandwidth and the order of estimation. Literature shows that a data-dependent plug-in method for the bandwidth significantly increases the MSE’s. In a long memory time series with mild short range effect, a simple approach to determine the bandwidth size is suggested based on the spectral analysis. Monte Carlo simulation results and empirical applications show that the proposed bandwidth selection performs satisfactorily.

Date: 2016
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