This study evaluates a number of methods of reducing the bias and mean squared error of log-periodogram (LP) based methods to estimate the long-memory parameter and, in addition, assesses the actual coverage of the associated confidence intervals, considering both tails and the width of the...

Consumer sentiments indices are widely used by business and government. Their potential for forecasting future economic activity is the subject of ongoing research. This paper aims to assess the directional accuracy and potential value to external users of households' sentiments data compiled by...