Robust automatic bandwidth for long memory

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Abstract

The choice of bandwidth, or number of harmonic frequencies, is crucial to semiparametric estimation of long memory in a covariance stationary time series as it determines the rate of convergence of the estimate, and a suitable choice can insure robustness to some non-standard error specifications, such as (possibly long-memory) conditional heteroscedasticity. This paper considers mean squared error minimizing bandwidths proposed in the literature for the local Whittle, the averaged periodogram and the log periodogram estimates of long memory. Robustness of these optimal bandwidth formulae to conditional heteroscedasticity of general form in the errors is considered. Feasible approximations to the optimal bandwidths are assessed in an extensive Monte Carlo study that provides a good basis for comparison of the above-mentioned estimates with automatic bandwidth selection.

Original languageEnglish (US)
Pages (from-to)293-316
Number of pages24
JournalJournal of Time Series Analysis
Volume22
Issue number3
DOIs
Publication statusPublished - May 2001

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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