Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Donald Poskitt, Gael Martin and Simone D. Grose ()

No 10/14, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve boot-strap to data pre-filtered by a preliminary semi-parametric estimate of the long memory parameter. Theoretical justification for using the bootstrap techniques to bias adjust log-periodogram and semi-parametric local Whittle estimators of the memory parameter is provided. Simulation evidence comparing the performance of the bootstrap bias correction with analytical bias correction techniques is also presented. The bootstrap method is shown to produce notable bias reductions, in particular when applied to an estimator for which analytical adjustments have already been used. The empirical coverage of confidence intervals based on the bias-adjusted estimators is very close to the nominal, for a reasonably large sample size, more so than for the comparable analytically adjusted estimators. The precision of inferences (as measured by interval length) is also greater when the bootstrap is used to bias correct rather than analytical adjustments.

Keywords: nd phrases: Bias adjustment; bootstrap-based inference; fractional process; log-periodogram regression; local Whittle estimator (search for similar items in EconPapers)
JEL-codes: C18 C22 C52 (search for similar items in EconPapers)
Pages: 39
Date: 2014
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap (2012)
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