THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

Offer Lieberman

Econometric Reviews, 2001, vol. 20, issue 3, 369-383

Abstract: The paper makes two contributions. First, we provide a formula for the exact distribution of the periodogram evaluated at any arbitrary frequency, when the sample is taken from any zero-mean stationary Gaussian process. The inadequacy of the asymptotic distribution is demonstrated through an example in which the observations are generated by a fractional Gaussian noise process. The results are then applied in deriving the exact bias of the log-periodogram regression estimator (Geweke and Porter-Hudak (1983), Robinson (1995)). The formula is computable. Practical bounds on this bias are developed and their arithmetic mean is shown to be accurate and useful.

Keywords: ARFIMA; Chi-square distribution; Log-periodogram regression (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1081/ETC-100104940

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