Temporal aggregation and bandwidth selection in estimating long memory

Detalhes bibliográficos
Autor(a) principal: Souza, Leonardo Rocha
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/874
Resumo: This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, provided that the same number of periodogram ordinates is used in both cases. This equivalence is in the sense that their joint distribution is asymptotically normal with common mean and variance and unity correlation. Furthermore, I prove that the same applies to the estimator of Robinson (1995). Monte Carlo simulations show that this asymptotic equivalence is a good approximation in finite samples. Moreover, a real example with the daily US Dollar/French Franc exchange rate series is provided.
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spelling Souza, Leonardo RochaEscolas::EPGEFGV2008-05-13T15:38:31Z2010-09-23T18:58:21Z2008-05-13T15:38:31Z2010-09-23T18:58:21Z2003-03-300104-8910http://hdl.handle.net/10438/874This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, provided that the same number of periodogram ordinates is used in both cases. This equivalence is in the sense that their joint distribution is asymptotically normal with common mean and variance and unity correlation. Furthermore, I prove that the same applies to the estimator of Robinson (1995). Monte Carlo simulations show that this asymptotic equivalence is a good approximation in finite samples. Moreover, a real example with the daily US Dollar/French Franc exchange rate series is provided.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;478Temporal aggregationSpectrumLong memoryBandwidthEconomiaEconomiaProcesso estocásticoTemporal aggregation and bandwidth selection in estimating long memoryinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1326.pdf.jpg1326.pdf.jpgGenerated Thumbnailimage/jpeg4260https://repositorio.fgv.br/bitstreams/b367f1c2-766e-427b-990d-74908b4983fc/download2ae0c921c95a8cf8e8f990408bf54a4fMD58ORIGINAL1326.pdfapplication/pdf316256https://repositorio.fgv.br/bitstreams/b141193b-3160-4112-aa32-9827866e53ca/download9fd448007362fd02ddd6cb9fbe096074MD52TEXT1326.pdf.txt1326.pdf.txtExtracted texttext/plain65391https://repositorio.fgv.br/bitstreams/30827395-17a7-49f3-8018-2173dcb410d5/downloadb8a494394573f83f292843d0d5e6ef6fMD5710438/8742023-11-09 22:15:16.403open.accessoai:repositorio.fgv.br:10438/874https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T22:15:16Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Temporal aggregation and bandwidth selection in estimating long memory
title Temporal aggregation and bandwidth selection in estimating long memory
spellingShingle Temporal aggregation and bandwidth selection in estimating long memory
Souza, Leonardo Rocha
Temporal aggregation
Spectrum
Long memory
Bandwidth
Economia
Economia
Processo estocástico
title_short Temporal aggregation and bandwidth selection in estimating long memory
title_full Temporal aggregation and bandwidth selection in estimating long memory
title_fullStr Temporal aggregation and bandwidth selection in estimating long memory
title_full_unstemmed Temporal aggregation and bandwidth selection in estimating long memory
title_sort Temporal aggregation and bandwidth selection in estimating long memory
author Souza, Leonardo Rocha
author_facet Souza, Leonardo Rocha
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Souza, Leonardo Rocha
dc.subject.eng.fl_str_mv Temporal aggregation
Spectrum
topic Temporal aggregation
Spectrum
Long memory
Bandwidth
Economia
Economia
Processo estocástico
dc.subject.por.fl_str_mv Long memory
Bandwidth
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
Processo estocástico
description This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, provided that the same number of periodogram ordinates is used in both cases. This equivalence is in the sense that their joint distribution is asymptotically normal with common mean and variance and unity correlation. Furthermore, I prove that the same applies to the estimator of Robinson (1995). Monte Carlo simulations show that this asymptotic equivalence is a good approximation in finite samples. Moreover, a real example with the daily US Dollar/French Franc exchange rate series is provided.
publishDate 2003
dc.date.issued.fl_str_mv 2003-03-30
dc.date.accessioned.fl_str_mv 2008-05-13T15:38:31Z
2010-09-23T18:58:21Z
dc.date.available.fl_str_mv 2008-05-13T15:38:31Z
2010-09-23T18:58:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/874
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
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dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;478
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eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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