BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

Christos Agiakloglou · Paul Newbold · Mark E. Wohar

203 citations0/0 files storedJournal of Time Series Analysis

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

Abstract

Abstract. An estimator of the difference parameter in a class of long‐memory time series models is examined. It is shown that, in particular circumstances, the estimator can be badly biased, and tests based on it consequently seriously misleading. The source of this bias is identified, and it is shown that its magnitude can readily be predicted through straightforward analytical arguments.

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1989Long memory and persistence in aggregate output 1990An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates

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1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 2002Long memory in stock returns: some international evidence 2003A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter 1996Testing for a change of the long-memory parameter 2004Adaptive Local Polynomial Whittle Estimation of Long-range Dependence 1996Model selection and forecasting for long-range dependent processes 1994AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 2005Level Shifts and the Illusion of Long Memory in Economic Time Series

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