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http://hdl.handle.net/2451/14778
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| Title: | AN EFFICIENT TAPER FOR POTENTIALLY OVERDIFFERENCED LONG-MEMORY TIME SERIES |
| Authors: | Hurvich, Clifford M.
Chen, Willa W. |
| Keywords: | Periodogram
Gaussian semiparametric estimation
unit roots |
| Issue Date: | Jan-1998 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-98-5 |
| Abstract: | We propose a new complex-valued taper and derive the properties of a
tapered Gaussian semiparametric estimator of the long-memory parameter d
ÃÂÃÂ (-0.5, 1.5). The estimator and its
accompanying theory can be applied to generalized unit root testing. In
the proposed method, the data are differenced once before the taper is
applied. This guarantees that the tapered estimator is invariant with
respect to deterministic linear trends in the original series. Any
detrimental leakage effects due to the potential noninvertibility of the
differenced series are strongly mitigated by the taper. The proposed
estimator is shown to be more efficient than existing invariant tapered
estimators. Invariance to kth order polynomial trends can be attained
by differencing the data k times and then applying a stronger taper,
which is given by the kth power of the proposed taper. We show that
this new family of tapers enjoys strong efficiency gains over comparable
existing tapers. Analysis of both simulated and actual data highlights
potential advantages of the tapered estimator of d compared with the
nontapered estimator. |
| URI: | http://hdl.handle.net/2451/14778 |
| Appears in Collections: | IOMS: Statistics Working Papers
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