Seasonality robust local whittle estimation. Issue 18 (23rd October 2020)

• Record Type: Journal Article
• Authors: Wingert, Simon; Leschinski, Christian; Sibbertsen, Philipp
• Is Part Of: Applied economics letters. Volume 27:Issue 18(2020)
• Page Start: 1489
• Page End: 1494
• Publication Date: 2020-10-23
• Subjects: Long memory -- seasonality -- semiparametric estimation -- Whittle likelihood; C14 -- C22; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2019.1691710
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: Time series that have seasonal effects with long periods relative to the observation frequency can exhibit spurious long memory. The effect of these seasonalities on the periodogram is similar to that of structural breaks and non-periodic trends, but it only influences the seasonal frequencies and their harmonics. Still, the effect causes a sizable bias of popular estimators such as the local Whittle estimator. To overcome this, we propose a robust local Whittle estimator based on the omission of the affected periodogram ordinates. In a Monte Carlo study, we compare this estimator with a robust log-periodogram regression-based estimator known in the literature. An application to electricity load series demonstrates the potential of robust estimators for empirical research.