Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
Article Abstract:
An ordinary least squares estimator of the long-memory parameter was generated using a fractionally integrated process that may used in lieu of the Geweke and Porter-Hudak estimator. A log-linear relationship between the wavelet coefficients' variance and the scaling parameter equal to the log-memory parameter, was developed utilizing the wavelet transform from a fractionally integrated process. This log-linear relationship produces a consistent ordinary least squares estimator of the long-memory parameter when the wavelet coefficient's population variance is replaced by their sample variance.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
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Specification versus data fitting: SEM prediction and the Q-class estimator
Article Abstract:
A study was conducted to analyze a novel category of limited information estimators based on the explicit trade-off between data fitting and a priori model specification. The structural form of the simultaneous equation models supported endogenous and predetermined variables, and a vector of disturbances. Results indicated that an emphasis on specification generates better out-of-sample predictions than data fitting.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
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Estimating the long memory Granger causality effect with a spectrum estimator
Article Abstract:
A study on 'Granger causality test', by using a spectrum estimator for longer memory, is discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2006
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