Hou.Perron {LongMemoryTS}

Modified local Whittle estimator of fractional difference parameter d.

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

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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))