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Log-periodogram regression of time series with long range dependence

Robinson, Peter (1995) Log-periodogram regression of time series with long range dependence. Annals of Statistics, 23 (3). pp. 1048-1072. ISSN 0090-5364

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Identification Number: 10.1214/aos/1176324636

Abstract

This paper discusses the estimation of multiple time series models which allow elements of the spectral density matrix to tend to infinity or zero at zero frequency and be unrestricted elsewhere. A form of log-periodogram regression estimate of differencing and scale parameters is proposed, which can provide modest efficiency improvements over a previously proposed method (for which no satisfactory theoretical justification seems previously available) and further improvements in a multivariate context when differencing parameters are a priori equal. Assuming Gaussianity and additional conditions which seem mild, asymptotic normality of the parameter estimates is established

Item Type: Article
Official URL: http://www.imstat.org/
Sets: Collections > Economists Online
Date Deposited: 27 Apr 2007
Last Modified: 30 Nov 2011 16:24
URI: http://eprints.lse.ac.uk/id/eprint/1149

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