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- Title
Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series.
- Authors
Arteche, J.; Velasco, C.
- Abstract
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment of different tapering schemes and of the log-periodogram regression and Gaussian semi-parametric estimates of the memory parameters. Tapering allows for a less restrictive trimming of frequencies for the analysis of the asymptotic properties of both estimates when allowing for asymmetries. Simple rules for inference are feasible thanks to tapering and their validity in finite samples is investigated in a simulation exercise and for an empirical example.
- Subjects
TIME series analysis; CYCLES; GAUSSIAN processes; MATHEMATICAL statistics; PROBABILITY theory
- Publication
Journal of Time Series Analysis, 2005, Vol 26, Issue 4, p581
- ISSN
0143-9782
- Publication type
Article
- DOI
10.1111/j.1467-9892.2005.00431.x