We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time-varying deterministic trend or by a break in the mean. We show that in some cases the estimate may still be consistent and asymptotically normally distributed even when the order of magnitude of the spectral density of the fractional process does not dominate the one of the periodogram of the contaminating term. If trimming is introduced, stronger deterministic components may be neglected. The performance of the estimate in small samples is studied in a Monte Carlo experiment.

Local Whittle estimation of the memory parameter in presence of deterministic components / F. Iacone. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - 31:1(2010), pp. 37-49.

Local Whittle estimation of the memory parameter in presence of deterministic components

F. Iacone
2010

Abstract

We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time-varying deterministic trend or by a break in the mean. We show that in some cases the estimate may still be consistent and asymptotically normally distributed even when the order of magnitude of the spectral density of the fractional process does not dominate the one of the periodogram of the contaminating term. If trimming is introduced, stronger deterministic components may be neglected. The performance of the estimate in small samples is studied in a Monte Carlo experiment.
break; deterministic trend; local whittle estimation; long memory; persistence; statistics and probability; statistics, probability and uncertainty; applied mathematics
Settore SECS-P/05 - Econometria
Settore SECS-P/01 - Economia Politica
Settore SECS-S/03 - Statistica Economica
2010
Article (author)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/525266
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