The exact bias of the log-periodogram regression estimator

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4 Scopus citations


The paper makes two contributions. First, we provide a formula for the exact distribution of the periodogram evaluated at any arbitrary frequency, when the sample is taken from any zero-mean stationary Gaussian process. The inadequacy of the asymptotic distribution is demonstrated through an example in which the observations are generated by a fractional Gaussian noise process. The results are then applied in deriving the exact bias of the log-periodogram regression estimator (Geweke and Porter-Hudak (1983), Robinson (1995)). The formula is computable. Practical bounds on this bias are developed and their arithmetic mean is shown to be accurate and useful.

Original languageEnglish
Pages (from-to)369-383
Number of pages15
JournalEconometric Reviews
Issue number3
StatePublished - 2001
Externally publishedYes


  • Chi-square distribution
  • Log-periodogram regression


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