dc.contributor.author | Arteche González, Jesús María | |
dc.contributor.author | Orbe Lizundia, Jesús María | |
dc.date.accessioned | 2011-12-21T20:11:15Z | |
dc.date.available | 2011-12-21T20:11:15Z | |
dc.date.issued | 2008-02 | |
dc.identifier.issn | 1134-8984 | |
dc.identifier.uri | http://hdl.handle.net/10810/5585 | |
dc.description.abstract | The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean squared error and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins. | es |
dc.description.sponsorship | Research supported by the Ministerio de Ciencia y Tecnología and FEDER grant SEJ2007-61362, and by the Department of Education of the Basque Government grant IT-334-07 (UPV/EHU Econometrics Research Group). | es |
dc.language.iso | eng | es |
dc.relation | info:eu-repo/grantAgreement/MCYT/SEJ2007-61362 | |
dc.relation.ispartofseries | Biltoki 2008.01 | |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | * |
dc.subject | bootstrap | es |
dc.subject | long memory | es |
dc.subject | log-periodogram regression | es |
dc.subject | bandwidth selection | es |
dc.title | Selection of the number of frequencies using bootstrap techniques in log-periodogram regression | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.rights.holder | Attribution-NonCommercial-ShareAlike 3.0 Unported | * |
dc.subject.jel | C15 | |
dc.subject.jel | C22 | |
dc.subject.jel | C63 | |
dc.identifier.repec | RePEc:ehu:biltok:200801 | es |
dc.departamentoes | Economía aplicada III (Econometría y Estadística) | es_ES |
dc.departamentoeu | Ekonomia aplikatua III (ekonometria eta estatistika) | es_ES |
dc.subject.categoria | MATHEMATICAL AND QUANTITATIVE METHODS | |