An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series

By Clifford M. Hurvich, Willa W. Chen. 2000

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a668ac837363b94d1965bdee331a1ca56cd756ee

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Citations in the corpus

Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “Here, we expand model (1) to include the case of no cointegration (s = 0, or equivalently, r = 0), that is, yt = A0u (0) t (14) where A0 is q × q with linearly independent columns, and all entries of u t have memory parameter d0.”
Gaussian Semi‐parametric Estimation of Fractional Cointegration (2003, result): “multiplied by the factor U 1⁄4 35/18 for the cosine taper, and other tapers would lead to similar results (Hurvich and Chen, 2000).”
Exact local Whittle estimation of fractionally cointegrated systems (2012, unknown): “4 Theorem Suppose Xt is generated by (4) and Assumptions 1 ′-6 ′ hold.”
Semiparametric Estimation of Multivariate Fractional Cointegration (2003, unknown): “where 1j D 21⁄4 j=n is the jth Fourier frequency, and fhtg is the complex-valuedtaper of Hurvich and Chen (2000) (omitting an unnecessary phase-shift factor) ht D :5.”
Long memory time series (2003, methodology): “However, Hurvich and Chen (2000) proposed a taper, applied to first differences when d 3/2, that, with no skipping, loses less effi ciency.”
Estimating Fractional Cointegration in the Presence of Polynomial Trends (2003, unknown): “The tapered Gaussian semiparametric estimator (GSE) proposed by Hurvich and Chen (2000) is advantageous to our analysis since it does not require prior knowledge of stationarity of the process.”
Nonstationarity-Extended Local Whittle Estimation (2007, unknown): “The second is the local Whittle estimator introduced by Künsch (1987). Both can be nested in a continuum of estimators; see Robinson and Henry (2003).”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “…who test for fractional integration and mean shifts in real exchange rates in 12 countries; Bos et al. (1999) who evaluate the implication for long memory neglecting mean shifts in G7 inflation rates; and Hyung and Franses (2001, 2002) who deal with long memory and breaks in US inflation rates.”
Estimators of Long-Memory: Fourier versus Wavelets (2008, methodology): “As shown in (Hurvich and Chen, 2000, Lemma 0), the decay of the discrete Fourier transform of the taper of order τ is given by ∣∣∣∣∣(2πnaτ ) −1/2 n∑ t=1 hτt e itλ ∣∣∣∣∣ ≤ C n (1 + n|λ|)τ , λ ∈ (−π, π) .”
Gaussian semiparametric estimation of multivariate fractionally integrated processes (2007, methodology): “For more details, see Hurvich and Chen (2000). in Section 5.”