Hou.Perron: Modified local Whittle estimator of fractional difference...

In LongMemoryTS: Long Memory Time Series

Description

Hou.Perron Modified semiparametric local Whittle estimator of Hou and Perron (2014). Estimates memory parameter robust to low frequency contaminations.

Usage

Hou.Perron(data, m)

Arguments

data	data vector of length T.
m	bandwith parameter specifying the number of Fourier frequencies used for the estimation usually floor(1+T^delta), where 0<delta<1.

Details

add details here

Author(s)

Christian Hendrik Leschinski

References

Hou, J., Perron, P. (2014): Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, Vol. 182, No. 2, pp. 309 - 328.

Examples

library(fracdiff)
T<-1000
d<-0
mean<-c(rep(0,T/2),rep(2,T/2))
FI<-fracdiff.sim(n=T, d=d)$series
series<-mean+FI
ts.plot(series)
lines(mean, col=2)
local.W(series, m=floor(1+T^0.65))
Hou.Perron(series, m=floor(1+T^0.65))

Example output

$d
[1] 0.4913506

$s.e.
[1] 0.05270463

$d
[1] 0.1275401

$s.e.
[1] 0.05270463

LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.