Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometrica 71 (2003) 2, pp. 675-712
In this paper, we propose a simple bias--reduced log--periodogram regression estimator, "ˆd-sub-r", of the long--memory parameter, "d", that eliminates the first-- and higher--order biases of the Geweke and Porter--Hudak (1983) (GPH) estimator. The bias--reduced estimator is the same as the GPH...