Selection of the number of frequencies using bootstrap techniques in log-periodogram regression

Josu Arteche and Jesus Orbe

No 1134-8984, BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

Abstract: The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean squared error and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins.

Keywords: bootstrap; long memory; log-periodogram regression; bandwidth selection (search for similar items in EconPapers)
Date: 2008-02
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Persistent link: https://EconPapers.repec.org/RePEc:ehu:biltok:5585

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Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

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