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Statistical Papers

, 50:225 | Cite as

The effect of tapering on the semiparametric estimators for nonstationary long memory processes

  • Leïla NouiraEmail author
  • Mohamed Boutahar
  • Vêlayoudom Marimoutou
Regular Article

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.

Keywords

Long-range dependence Order of tapering Semiparametric estimators Monte Carlo study 

Mathematics Subject Classification (2000)

C13 C14 C15 C22 

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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  • Leïla Nouira
    • 1
    Email author
  • Mohamed Boutahar
    • 1
  • Vêlayoudom Marimoutou
    • 1
  1. 1.GREQAM, la Vieille CharitéMarseilleFrance

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