Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society

• #### Chang Sik Kim   (School of Economics, Sungkyunkwan University)

Abstract

This paper studies a new semiparametric estimation procedure of the memory parameter ($d$) in models of fractional integration. The procedure is called modified log periodogram regression and it is especially useful for nonstationary time series where $d\geq 1/2$. The modified estimator is shown to be consistent and asymptotically normally distributed with variance $\pi^2/24$ under mild regularity conditions. Simulations reveal that the estimator performs well for all $d\geq 1/2$.

Keywords
Discrete Fourier transform, fractional Brownian motion, fractional integration, log periodogram regression, long memory, nonstationarity, semiparametric estimation

JEL classification codes
C22