Semiparametric Estimation of Long-memory Models
Year: 2005
Type: book-chapter
Abstract: This chapter reviews semiparametric methods of inference on different aspects of long memory time series. The main focus is on estimation of the memory parameter of linear models, analyzing bandwidth choice, bias reduction techniques and robustness properties of different estimates, with sorne emphasis on nonstationarity and trending behaviors. These techniques extend naturally to multivariate series, where the important issues are the estimation of the long-run relationship and testing for fractional cointegration. Specific techniques for the estimation of the degree of per-sistence of volatility for nonlinear time series are also considered.
Author: Carlos Velasco
Institution: Universidad Carlos III de Madrid
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W109968135