Abstract
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 language | English |
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Pages (from-to) | 369-383 |
Number of pages | 15 |
Journal | Econometric Reviews |
Volume | 20 |
Issue number | 3 |
DOIs | |
State | Published - 2001 |
Externally published | Yes |
Keywords
- ARFIMA
- Chi-square distribution
- Log-periodogram regression