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The estimation of misspecified long memory models

Robinson, Peter M. (2014) The estimation of misspecified long memory models. Journal of Econometrics, 178 (2). pp. 225-230. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2013.08.023

Abstract

We consider time series that, possibly after integer differencing or integrating or other detrending, are covariance stationary with spectral density that is regularly varying near zero frequency, and unspecified elsewhere. This semiparametric framework includes series with short, long and negative memory. We consider the consistency of the popular log-periodogram memory estimate that, conventionally but wrongly, assumes the spectral density obeys a pure power law. The local-to zero misspecification leads to increased bias, such that the usual central limit theorem may only hold for bandwidths entailing considerable imprecision. The order of the bias is calculated for several slowly-varying factors, and some discussion of mean squared error and bandwidth choice is included.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-econom...
Additional Information: © 2013 Elsevier B.V.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 21 Oct 2013 16:06
Last Modified: 20 Jul 2019 23:06
Projects: SEJ2007-62908/ECON, ES/J007242/1
Funders: Cátedra de Excelencia at Universidad Carlos III de Madrid, Spanish Nacional de I+d+I, Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/53692

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