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Una nueva prueba para el parámetro de diferenciación fraccional

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Author Info
Elkin Castaño ()
Karoll Gómez ()
Santiago Gallón ()
Abstract

Este documento presenta una nueva prueba para el parámetro de diferenciación fraccional de un modelo ARFIMA, basada en una aproximación autorregresiva de su componente a corto plazo. El comportamiento de la prueba se estudia por medio de experimentos Monte Carlo en una distribución normal, y se compara con el comportamiento de algunas de las pruebas más utilizadas. Para los casos estudiados, se concluye que la nueva prueba tiene generalmente potencias superiores, conservando un tamaño adecuado. A partir de la estimación del parámetro de diferenciación fraccional usando el modelo aproximado, es posible identificar el modelo correcto para la componente a corto plazo, lo cual permite mejorar la inferencia sobre dicho parámetro. Una ventaja adicional del procedimiento propuesto es que permite probar la existencia de larga memoria en presencia de errores dependientes, como en el caso de modelos de volatilidad de la familia ARCH. Se ilustra su aplicación en un procedimiento de identificación y estimación de un modelo ARFIMA--ARCH usando datos simulados.

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Article provided by REVISTA COLOMBIANA DE ESTADISTICA in its journal Revista Colombiana de Estadística.

Volume (Year): (2008)
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Handle: RePEc:col:000163:005087

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