Details
| Original language | English |
|---|---|
| Article number | 13 |
| Journal | Econometrics |
| Volume | 6 |
| Issue number | 1 |
| Publication status | Published - 12 Mar 2018 |
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.
Keywords
- Low frequency contamination, Monte Carlo simulation, Perturbation, Semiparametric estimation, Spurious long memory
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Econometrics, Vol. 6, No. 1, 13, 12.03.2018.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - An Overview of Modified Semiparametric Memory Estimation Methods
AU - Busch, Marie
AU - Sibbertsen, Philipp
PY - 2018/3/12
Y1 - 2018/3/12
N2 - 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.
AB - 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.
KW - Low frequency contamination
KW - Monte Carlo simulation
KW - Perturbation
KW - Semiparametric estimation
KW - Spurious long memory
UR - http://www.scopus.com/inward/record.url?scp=85056766686&partnerID=8YFLogxK
U2 - 10.3390/econometrics6010013
DO - 10.3390/econometrics6010013
M3 - Article
AN - SCOPUS:85056766686
VL - 6
JO - Econometrics
JF - Econometrics
IS - 1
M1 - 13
ER -