This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment of different tapering schemes and of the log-periodogram regression and Gaussian semi-parametric estimates of the memory parameters. Tapering allows for a less restrictive trimming of frequencies for the analysis of the asymptotic properties of both estimates when allowing for asymmetries. Simple rules for inference are feasible thanks to tapering and their validity in finite samples is investigated in a simulation exercise and for an empirical exam...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
The long memory property of a time series has long been studied and several estimates of the memory ...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
summary:The long memory property of a time series has long been studied and several estimates of the...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
The estimation of the memory parameter in perturbed long memory series has recently attracted attent...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
The long memory property of a time series has long been studied and several estimates of the memory ...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
summary:Gaussian semiparametric or local Whittle estimation of the memory parameter in standard long...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
summary:The long memory property of a time series has long been studied and several estimates of the...
We consider semi parametric estimation of the long-memory parameter of a stationary process in the p...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
The estimation of the memory parameter in perturbed long memory series has recently attracted attent...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
The long memory property of a time series has long been studied and several estimates of the memory ...