Wavelet Analysis of Fractionally Integrated Processes

Mark Jensen

Econometrics from University Library of Munich, Germany

Abstract: In this paper we apply wavelet analysis to the class of fractionally integrated processes to show that this class is a member of the $1/f$ family of processes as defined by Wornell (1993) and to produce an alternative method of estimating the fractional differencing parameter. Currently the method by Geweke and Porter-Hudak (1983) is used most often to estimate and test the fractional differencing parameter. The GPH approach, however, has been shown to have poor statistical properties and suffers from subjective decisions that the users must make. The wavelet analysis estimate of the fractional differencing parameter is shown to be more straightforward and to provide results that are more robust than the GPH method. Keywords: Long-Memory, Wavelets, Spectral Analysis, $1/f$ Processes. Document is a 26 page uuencoded postscript file that contains figures

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1994-05-24
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9405001

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