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Variance-type estimation of long memory

Giraitis, Liudas and Robinson, Peter M. (1998) Variance-type estimation of long memory. Econometrics; EM/1998/363, EM/98/363. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ® ¥ and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Teverovsky and Willinger (1995), Teverovsky and Taqqu (1997) introduced an aggregate variance estimator of the long memory parameter of a stationary sequence with long range dependence and studied its empirial performance. With respect to autovariance structure and marginal distribution, the aggregated series is closer to Gaussian fractional noise than the initial series. However, the variance type estimator based on aggregated data is seriously biased. A refined estimator, which employs least squares regression across varying levels of aggregation, has much smaller bias, permitting derivation of limiting distributional properties of suitably centered estimates, as well as of a minimum mean squared error choice of bandwidth m. The results vary considerably with the actual value of the memory parameter.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 1998 Liudas Giraitis, Peter M Robinson and Donatas Surgailis
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/98/363
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/2327/

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