THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Journal of Time Series Analysis - Tập 4 Số 4 - Trang 221-238 - 1983
John Geweke1, Susan Porter‐Hudak1
1Department of Economics, Duke University

Tóm tắt

Abstract. The definitions of fractional Gaussian noise and integrated (or fractionally differenced) series are generalized, and it is shown that the two concepts are equivalent. A new estimator of the long memory parameter in these models is proposed, based on the simple linear regression of the log periodogram on a deterministic regressor. The estimator is the ordinary least squares estimator of the slope parameter in this regression, formed using only the lowest frequency ordinates of the log periodogram. Its asymptotic distribution is derived, from which it is evident that the conventional interpretation of these least squares statistics is justified in large samples. Using synthetic data the asymptotic theory proves to be reliable in samples of 50 observations or more. For three postwar monthly economic time series, the estimated integrated series model provides more reliable out‐of‐sample forecasts than do more conventional procedures.

Từ khóa


Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Time Series Analysis

Tập 4 Số 4

221-238

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