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Log-Periodogram Regression of Time Series with Long Range Dependence
Open accessAbstract
This paper discusses the estimation of multiple time series models which allow elements of the spectral density matrix to tend to infinity or zero at zero frequency and be unrestricted elsewhere. A form of log-periodogram regression estimate of differencing and scale parameters is proposed, which can provide modest efficiency improvements over a previously proposed method (for which no satisfactory theoretical justification seems previously available) and further improvements in a multivariate context when differencing parameters are a priori equal. Assuming Gaussianity and additional conditions which seem mild, asymptotic normality of the parameter estimates is established.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
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Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
Dimitriou, D., Kenourgios, D., & Simos, T. (2013) · International Review of Financial Analysis · doi:10.1016/j.irfa.2013.05.008 · Cited by 358
Determination of cointegrating rank in fractional systems
Robinson, P. M., & Yajima, Y. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00096-3 · Cited by 236
Self-citationConsistent Testing of Cointegrating Relationships
Marmol, F., & Velasco, C. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00554.x · Cited by 50
Metadata
- Authors
- Robinson, P. M.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 1995-06-01
- Volume
- 23
- Issue
- 3
- Pages
- 1048-1072
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W2063827883
- Cited by
- 1,223
- References
- 1
- FWCI
- 57.31
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Robinson, P. M. (1995). Log-Periodogram Regression of Time Series with Long Range Dependence. The Annals of Statistics. https://doi.org/10.1214/aos/1176324636
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
