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Consistent estimation of the memory parameter for nonlinear time series

Dalla, Violetta, Giraitis, Liudas and Hidalgo, Javier (2006) Consistent estimation of the memory parameter for nonlinear time series. EM, 497. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some specific cases, little is known about the estimation of the memory parameter for nonlinear processes. The purpose of this paper is to provide general conditions under which the local Whittle estimator of the memory parameter of a stationary process is consistent and to examine its rate of convergence. We show that these conditions are satisfied for linear processes and a wide class of nonlinear models, among others, signal plus noise processes, nonlinear transforms of a Gaussian process ξt and EGARCH models. Special cases where the estimator satisfies the central limit theorem are discussed. The finite sample performance of the estimator is investigated in a small Monte-Carlo study

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2006 Violetta Dalla, Liudas Giraitis and Javier Hidalgo
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: 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: Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 497
Date Deposited: 09 Jul 2008 11:37
URL: http://eprints.lse.ac.uk/6813/

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