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An Overview of Modified Semiparametric Memory Estimation Methods

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  • Busch, Marie
  • Sibbertsen, Philipp
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.

Suggested Citation

  • Busch, Marie & Sibbertsen, Philipp, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Hannover Economic Papers (HEP) dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-628
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    References listed on IDEAS

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    20. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
    21. Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, March.
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    25. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
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    More about this item

    Keywords

    Spurious Long Memory; Semiparametric estimation; Low frequency contamination; Pertubation; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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