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Nonlinear Log-Periodogram Regression For Perturbed Fractional Processes, Yixiao Sun, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as log periodogram (LP) regression) may be used in a components model where the data are affected by weakly dependent perturbations, but these estimates can suffer from serious downward bias. To circumvent this problem, the present paper proposes a new procedure that allows for the possible presence of additive perturbations in the data. …