An overview of modified semiparametric memory estimation methods

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Busch, M.; Sibbertsen, P.: An overview of modified semiparametric memory estimation methods. In: Econometrics 6 (2018), Nr. 1, 13. DOI: https://doi.org/10.3390/econometrics6010013

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Abstract: 
Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being contaminated. In this paper, we provide an overview and compare the performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account for low frequency contaminations and three procedures developed for perturbed fractional processes. We conduct an extensive Monte Carlo study for a variety of parameter constellations and several DGPs. Furthermore, an empirical application of the log-absolute return series of the S&P 500 shows that the estimation results combined with a long-memory test indicate a spurious long-memory process.
License of this version: CC BY 4.0 Unported
Document Type: article
Publishing status: publishedVersion
Issue Date: 2018
Appears in Collections:Wirtschaftswissenschaftliche Fakultät

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1 image of flag of Germany Germany 28 84.85%
2 image of flag of United States United States 3 9.09%
3 image of flag of India India 1 3.03%
4 image of flag of Algeria Algeria 1 3.03%

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