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.

Research, Least squares

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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.

Econometrics & Model Building, Models, Analysis, Econometrics, Business models, Equations, Simultaneous, Simultaneous equations

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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.

Taiwan, Product information, Instruments to measure electricity, Instrument Manufacturing for Measuring and Testing Electricity and Electrical Signals, Spectrum Analyzers, Testing, Long-term memory

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