Log-periodogram regression in seasonal/cyclical long memory time series
ISSN: 1134-8984
Argitalpen urtea: 1998
Zenbakia: 17
Mota: Laneko dokumentua
Beste argitalpen batzuk: Documentos de Trabajo BILTOKI
Laburpena
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.