Riccardo Faini CEIS Seminars
Uwe Hassler (Goethe University Frankfurt)

Harmonically Weighted Processes

Riccardo Faini CEIS Seminars
When

Friday, May 17, 2019 h. 12:00-13:30

Where

Room B - 1st Floor – Building B
Facolta' di Economia
Universita' degli Studi di Roma 'Tor Vergata'
Via Columbia 2, Roma

Description

Uwe Hassler (Goethe University Frankfurt)

We discuss a model for long memory and persistence in time series that amounts to harmonically weighting short memory processes. A nonstandard rate of convergence is required to establish a Gaussian functional central limit theorem. Theoretically, the harmonically weighted [HW] process displays less persistence and weaker memory than the classical competitor, fractional integration [FI] of order d. Still, we establish that a test rejects the null hypothesis of d = 0 if the process is HW. Similarly, a bias approximation shows that estimators of d will fail to distinguish between HW and FI given realistic sample sizes. The difficulties to disentangle HW and FI are illustrated experimentally and with U.S. inflation data.

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Contacts

Responsabile Scientifico
Nicola Amendola

Organizzazione
Barbara Piazzi
06-72595601
piazzi@ceis.uniroma2.it