Log-periodogram regression in seasonal/cyclical long memory time series

  1. Arteche González, Josu
Revista:
Documentos de Trabajo BILTOKI

ISSN: 1134-8984

Año de publicación: 1998

Número: 17

Tipo: Documento de Trabajo

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Otras publicaciones en: Documentos de Trabajo BILTOKI

Resumen

The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency where the spectral density function is symmetric are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter-Hudak (1983). In this paper we analyse the asymptotic properties of this estimate in the seasonal/cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency and asymptotic normality are obtained.

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