Non-stationary log-periodogram regression

Velasco, Carlos

doi:10.1016/s0304-4076(98)00080-3

Cited by 226 publications

(143 citation statements)

References 16 publications

(55 reference statements)

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“…the log-periodogram estimator introduced by Geweke and Porter-Hudak (1983). It remains consistent for d close to one and is distributed asymptotically normal for d < 0.75, see Velasco (1999).…”

Section: Estimating the Order Of Fractional Integrationmentioning

confidence: 95%

Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area

Busch

Nautz

2010

German Economic Review

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Controllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains sufficiently low. This paper applies fractional integration techniques to assess the persistence of policy spreads of euro area money market rates along the yield curve. Independently from anticipated policy rate changes, there is strong evidence for all maturities that policy spreads exhibit long memory. We show that recent changes in the operational framework and the communication strategy of the European Central Bank have significantly decreased the persistence of euro area policy spreads and, thus, have enhanced the central bank's influence on longer-term money market rates.Keywords: Long memory and fractional integration; controllability and persistence of interest rates; new operational framework of the ECB JEL classification: C22, E43, E52 * We thank

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Section: Estimating the Order Of Fractional Integrationmentioning

confidence: 95%

Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area

Busch

Nautz

2010

German Economic Review

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“…As mentioned above, Shimotsu's (2006) semiparametric estimator provides power rate consistent estimators of d 1 for the case where the DGP contains a linear or a quadratic trend whereas Velasco's (1999) estimator is invariant to a linear (and possibly higher order) time trend.…”

Section: Slowly Evolving Deterministic Componentmentioning

confidence: 99%

“…Among them, the estimators proposed by Abadir et al (2005), Shimotsu (2006) and Velasco (1999) provide convenient choices since they also cover the case where deterministic components are present, as we do in section 3.…”

Section: De…nitionsmentioning

confidence: 99%

“…3 See, e.g., Velasco (1999), Robinson (2003), Abadir et al (2005), Shimotsu and Phillips (2005) and range of semiparametric estimators for the input value of d with an auxiliary parametric regression, as the one discussed above, yields a parametric rate for the Wald tests. Thus, in a sense, the Wald tests combine the favorable features of both approaches to improve power, while reducing the danger of misspecifying short-run dynamics.…”

Section: Introductionmentioning

confidence: 99%

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Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Dolado¹,

Gonzalo²,

Mayoral³

2008

Studies in Nonlinear Dynamics &Amp; Econometrics

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This paper analyses the behaviour of a Wald-type test, i.e., the (E¢ cient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d); d < 1; relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of these hypotheses are important in many macroeconomic applications where it is crucial to distinguish between permanent and transitory shocks because shocks die out in I(d) processes with d < 1. We show how simple is the implementation of the EFDF in these situations and argue that, under …xed alternatives, it is preferred to the LM test in Bahadur´s sense. Finally, an empirical application is provided where the EFDF approach allowing for deterministic components is used to test for long-memory in the GDP p.c. of several OECD countries, an issue that has important consequences to discriminate between alternative growth theories.JEL Clasi…cation: C12 C22 O40

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“…Tapering is a major benefit when dealing with possibly over-differentiated (non-invertible) or non-stationary series (see Hurvich and Chen [15], see also Velasco [24]). Our GOF procedure may apply in those cases but we shall restrict our attention to invertible and stationary processes, which imply in particular 0 ≤ d < 1/2.…”

Section: Taperingmentioning

confidence: 99%

Goodness-of-fit test for long range dependent processes

Faÿ

Philippe

2002

ESAIM: PS

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Abstract. In this paper, we make use of the information measure introduced by Mokkadem (1997) for building a goodness-of-fit test for long-range dependent processes. Our test statistic is performed in the frequency domain and writes as a non linear functional of the normalized periodogram. We establish the asymptotic distribution of our statistic under the null hypothesis. Under specific alternative hypotheses, we prove that the power converges to one. The performance of our test procedure is illustrated from different simulated series. In particular, we compare its size and its power with test of Chen and Deo.Mathematics Subject Classification. 60F05, 62F03.

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Non-stationary log-periodogram regression

Cited by 226 publications

References 16 publications

Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area

Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Goodness-of-fit test for long range dependent processes

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