A0518
Title: Estimation of time-varying long memory series
Authors: Josu Arteche - University of the Basque Country (Spain) [presenting]
Luis Filipe Martins - ISCTE-IUL (Portugal)
Abstract: The memory parameter is usually assumed to be constant in traditional long memory time series. This restriction is relaxed by considering the memory a time-varying function that depends on a finite number of parameters. A time-varying local Whittle estimator of these parameters, and hence of the memory function, is proposed. Its consistency and asymptotic normality are shown for locally stationary and locally non-stationary long memory processes, where the spectral behavior is restricted only at frequencies close to the origin. Its good finite sample performance is shown in a Monte Carlo exercise and in two empirical applications, highlighting its benefits over the fully parametric Whittle estimator proposed in a past study. Standard inference techniques for the constancy of the memory are also proposed based on this estimator.
