A BIAS-REDUCED LOG-PERIODOGRAM REGRESSION ESTIMATOR FOR THE LONG-MEMORY PARAMETER

By Donald W. K. Andrews, Patrik Guggenberger. 2003

190 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/acf6e59025f8cd4d1e27a534bbe64c98b8fa81ad

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Citations in the corpus

Local Polynomial Whittle Estimation of Long-range Dependence (2001, methodology): “Results of Andrews and Guggenberger (2003) (AG), which in turn rely on results of Giraitis, Robinson, and Samarov (1997), show that the optimal choices of r andm (in terms of the rate of convergence of the estimator of d0) depend on the smoothness of φ(λ) at zero.”
Realized Beta: Persistence and Predictability (2004, background): “Our realized beta series are unfortunately relatively short compared to the length required for formal testing and inference procedures regarding (fractional) cointegration, as the fractional integration and cointegration estimators proposed by Geweke-Porter Hudak (1983), Robinson and Marinucci (200”
MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Recent years have seen the emergence of estimators that reduce the biases arising from (i) level shifts and deterministic trends (e.g., the present paper), (ii) short-memory dynamics (e.g., Andrews and Guggenberger, 2003), and (iii) the presence of noise (e.g., Sun and Phillips, 2003).”
Long Memory and the Relation between Implied and Realized Volatility (2006, background): “(4) was obtained by Robinson (1995a) in the presence of stationary data and by Velasco (1999) in the presence of nonstationary data with 12 ≤ d < 3 4 .”
Estimators of Long-Memory: Fourier versus Wavelets (2008, methodology): “Andrews and Guggenberger (2003) extend this definition to the case β > 2 by considering even functions satisfying ∣∣∣∣∣∣ g(λ) − g(0) − ⌊β/2⌋∑ k=1 ϕkλ 2k/(2k”
Local Polynomial Whittle Estimation of Perturbed Fractional Processes (2008, background): “Furthermore, Hurvich et al. (2005) show that the polynomial log-periodogram regression estimator of Andrews & Guggenberger (2003) su¤ers from severe bias in the case of perturbed fractional processes and the LPW estimator is expected to perform similarly.”
Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large (2008, methodology): “10), it follows that Ejznt;ij c1c2Ejun;t 1;ij + c1c4 = O(1) uniformly.”
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005, methodology): “Among the semiparametric (frequency domain and wavelet) methods our results clearly demonstrate the usefulness of the bias reduced log-periodogram regression and local polynomial Whittle estimators of Andrews & Guggenberger (2003) and Andrews & Sun (2004), respectively.”
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, unknown): “But the bias is positive or negative (depending on the second derivative of the spectral density function at frequency zero of the short-memory component) and increasing with m (see Hurvich, Deo, and Brodsky 1998, and especially figure 1 in Andrews and Guggenberger 2003).”
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes (2003, methodology): “Gaussianity is usually assumed in the log-periodogram regression literature (e.g., Robinson, 1995a, and Andrews and Guggenberger, 1999) and the present paper is no exception.”