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Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

✍ Scribed by Liudas Giraitis; Piotr Kokoszka; Remigijus Leipus; Gilles Teyssière

Book ID
110283742
Publisher
Springer Netherlands
Year
2000
Tongue
English
Weight
88 KB
Volume
3
Category
Article
ISSN
1387-0874

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✍ Liudas Giraitis; Peter M Robinson; Alexander Samarov 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 239 KB

In Giraitis, Robinson, and Samarov (1997), we have shown that the optimal rate for memory parameter estimators in semiparametric long memory models with degree of ``local smoothness'' ; is n &r( ;) , r( ;)=;Â(2;+1), and that a logperiodogram regression estimator (a modified Geweke and Porter-Hudak (