본문 바로가기
KERD
논문KCI 등재

Log Periodogram Estimation with Nonstationary Process

김창식
한국계량경제학회|2008.09|계량경제학보 (Journal of Economic Theory and Econometrics)|제19권 제3호|pp. 1-23

2

조회

0

다운로드

0

인용

0

참고문헌

키워드

long memoryfractional integrationsemiparametric estimationnonstationarityDiscrete Fourier transformfractional Brownian motionlog periodogram regression
주제분류경제학

초록

This paper studies a new semiparametric estimation procedure of the memory parameter (d) in models of fractional integration. The procedure is called modified log periodogram regression and it is especially useful for nonstationary time series where d>=1/2. The modified estimator is shown to be consistent and asymptotically normally distributed with variance π^2/24 under mild regularity conditions. Simulations reveal that the estimator performs well for all d>=1/2.

Abstract

This paper studies a new semiparametric estimation procedure of the memory parameter (d) in models of fractional integration. The procedure is called modified log periodogram regression and it is especially useful for nonstationary time series where d>=1/2. The modified estimator is shown to be consistent and asymptotically normally distributed with variance π^2/24 under mild regularity conditions. Simulations reveal that the estimator performs well for all d>=1/2.

참고문헌 (27)

  1. Agiakloglou, C., "Bias in an Estimator of the Fractional Difference Parameter", Journal of Time Series Analysis, 14, pp.235~246 (1993)
  2. Andrews, D.W.K, "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter", Econometrica, 71, pp.675~712 (2003)
  3. Baillie, R.T, "Long Memory Processes and Fractional Integration in Econometrics", Journal of Econometrics, 73, pp.5~59 (1996)
  4. Corbae, D, "Band Spectral Regression with Trending Data", Econometrica, 70, pp.1067~1109 (2002)
  5. Geweke, J., "The Estimation and Application of Long Memory Time Series Models", Journal of Time Series Analysis, 4, pp.221~237 (1983)
  6. Gil-Alana, L. A., "Testing of Unit Root and Other Nonstationary Hypothesis in Macroeconomic Time Series", Journal of Econometrics, 80, pp.241~268 (1997)
  7. Hassler, U., "Regression of Spectral Estimators with Fractionally Integrated Time Series", Journal of Time Series Analysis, 14, pp.369~380 (1993)
  8. Hassler, U., "Long Memory in Inflation Rates: International Evidence", Journal of Business and Economic Statistics, 13, pp.37~45 (1995)
  9. Hurvich, C. M., "The Mean Squared Error of Geweke and Porter Hudak’s Estimator of the Memory Parameter of a Long Memory Time Series", Journal of Time Series Analysis, 19, pp.19~46 (1998)
  10. Janas, J., "Consistency for Non-Linear Functions of the Periodogram of Tapered Data", Journal of Time Series Analysis, 16, pp.585~606 (1995)
  11. Kashyap, R. L., "Estimation in Long-Memory Time Series Model", Journal of Time Series Analysis, 9, pp.35~41 (1988)
  12. Log Periodogram Regression: The Nonstationary Case, Cowles Foundation Discussion Paper, "Kim, C. S.", Yale University, ~ (2006)
  13. Knsch, H. R., "Discrimination between Monotonic Trends and Long-Range Dependence", Journal of Applied Probability, 23, pp.1025~1030 (1986)
  14. Liu, M., "Asymptotics of Nonstationary Fractional Integrated Series", Econometric Theory, 14, pp.641~662 (1998)
  15. Nelson, C. R., "Trends and Random Walks in Macroeconomic Time Series", Journal of Monetary Economics, 10, pp.139~162 (1982)
  16. Econometric Analysis of Fisher’s Equation, "Phillips, P. C. B.", Yale University, ~, pp.1180 (1998)
  17. Phillips, P. C. B., "Discrete Fourier Transforms of Fractional Processes" (1999), Yale University
  18. Phillips, P. C. B., "Unit Root Log Periodogram Regression", Journal of Econometrics, 138, pp.104~124 (2007)
  19. Phillips, P.C.B., "Local Whittle Estimation in Nonstationary and Unit Root Cases", Annals of Statistics, 32, pp.656~692 (2004)
  20. Phillips, P. C. B., "Asymptotics for Linear Processes", The Annals of Statistics, 20, pp.971~1001 (1992)
  21. Robinson, P. M., "Log Periodogram Regression of Time Series with Long Memory Dependence", The Annals of Statistics, 23, pp.1048~1072 (1995)
  22. Robinson, P. M., "Gaussian Semiparametric Estimation of Long Range Dependence", The Annals of Statistics, 23, pp.1630~1661 (1995)
  23. Shea, G. S., "Uncertainty and Implied Variance Bounds in Long Memory Models of the Interest Rate Term Structure", Empirical Economics, 16, pp.287~312 (1991)
  24. Shimotsu, K., "Exact Local Whittle Estimation of Fractional Integration", Annals of Statistics, 33, pp.1890~1933 (2005)
  25. Velasco, C., "Non-Stationary Log-Periodogram Regression", Journal of Econometrics, 91, pp.325~371 (1999)
  26. Velasco, C., "Gaussian Semiparametric Estimation of Non-Stationary Time Series", Journal of Time Series Analysis, 20, pp.87~127 (1999)
  27. Velasco, C., "Non-Gaussian Log Periodogram Regression", Econometric Theory, 16, pp.44~79 (2000)

관련 논문AI추천

Efficient Estimation of Regressions with Nonstationary Heteroskedasticity김창식, 정희택한국계량경제학회 · 계량경제학보2013 · 제24권 제3호Local Linear Estimation of Nonparametric Cointegrating Regression김지현, 김창식한국계량경제학회 · 계량경제학보2010 · 제21권 제1호Long-run Variance Estimation for Linear Processes Under Possible Degeneracy이진한국계량경제학회 · 계량경제학보2010 · 제21권 제1호Nonparametric Kernel Estimation of Evolutionary Autoregressive Processes김우철경제연구소 · Seoul Journal of Economics2012 · 제25권 제4호Estimation of hurst parameter and minimum variance spectrum김주목강원경기수학회 · 한국수학논문집2018 · 제26권 제2호Notes on the Effects of Over-Differencing on the Long-Run Relationship between Two Time Series Processes이진한국계량경제학회 · 계량경제학보2025 · 제36권 제4호

이 간행물의 다른 논문 (2건)

Sectoral Shocks and Their Impacts on Cyclical Co-movements and Aggregate Employment신관호, 김영식pp. 24-52Verification of the Information Privately Owned by a Principal윤성호pp. 53-69
원문 보기