Abstract
In this paper, we study, by a Monte Carlo simulation, the effect of the order p of “Zhurbenko-Kolmogorov” taper on the asymptotic properties of semiparametric estimators. We show that p = [d + 1/2] + 1 gives the smallest variances and mean squared errors. These properties depend also on the truncation parameter m. Moreover, we study the impact of the short-memory components on the bias and variances of these estimators. We finally carry out an empirical application by using four monthly seasonally adjusted logarithm Consumer Price Index series.
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Nouira, L., Boutahar, M. & Marimoutou, V. The effect of tapering on the semiparametric estimators for nonstationary long memory processes. Stat Papers 50, 225–248 (2009). https://doi.org/10.1007/s00362-007-0071-6
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DOI: https://doi.org/10.1007/s00362-007-0071-6