Log-periodogram estimation of the memory parameter of a long-memory process under trend

Philipp Sibbertsen

No 2001,39, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard logperiodogram methodology.

Keywords: Long-memory; trends; log-periodogram regression (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Journal Article: Log-periodogram estimation of the memory parameter of a long-memory process under trend (2003)
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