{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,3]],"date-time":"2026-10-03T22:58:02Z","timestamp":1791068282243,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2000,2,1]],"date-time":"2000-02-01T00:00:00Z","timestamp":949363200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,2]]},"abstract":"<jats:p>We show the consistency of the log-periodogram \nregression estimate of the long memory parameter for long \nrange dependent linear, not necessarily Gaussian, time \nseries when we make a pooling of periodogram ordinates. \nThen, we study the asymptotic behavior of the tapered periodogram \nof long range dependent time series for frequencies near \nthe origin, and we obtain the asymptotic distribution of \nthe log-periodogram estimate for possibly non-Gaussian \nobservation when the tapered periodogram is used. For these \nresults we rely on higher order asymptotic properties of \na vector of periodogram ordinates of the linear innovations. \nFinally, we assess the validity of the asymptotic results \nfor finite samples via Monte Carlo simulation.<\/jats:p>","DOI":"10.1017\/s0266466600161031","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"44-79","source":"Crossref","is-referenced-by-count":69,"title":["NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION"],"prefix":"10.1017","volume":"16","author":[{"given":"Carlos","family":"Velasco","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2000,2,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600161031","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,3]],"date-time":"2019-04-03T20:27:32Z","timestamp":1554323252000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600161031\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,2]]}},"alternative-id":["S0266466600161031"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600161031","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,2]]}}}