Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Authors:
Josu Arteche;Jesus Orbe
Affiliations:
Departamento de Econometría y Estadística, University of the Basque Country (UPV-EHU), Bilbao 48015, Spain;Departamento de Econometría y Estadística, University of the Basque Country (UPV-EHU), Bilbao 48015, Spain
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

Log periodogram regression is widely applied in empirical applications to estimate the memory parameter, d, of long memory time series. This estimator is consistent for d