A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA

Econometrics from University Library of Munich, Germany

Abstract: The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content compared to the Geweke-Porter-Hudak method. The bispectrum method is an alternative to the recently proposed wavelet method that transforms the original series into time-frequency (or time-scale) space.

Keywords: Bispectrum; frequency domain; estimation; long memory (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2005-07-07, Revised 2005-07-07
New Economics Papers: this item is included in nep-ecm
Note: Type of Document - pdf; pages: 9
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0507/0507001.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0507001

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().