This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Expansions For The Distribution Of The Maximum Likelihood Estimator Of The Fractional Difference Parameter

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Lieberman, Offer
Phillips, Peter C.B.

Additional information is available for the following registered author(s):

Abstract

The maximum likelihood estimator (MLE) of the fractional difference parameter in the Gaussian ARFIMA(0,d,0) model is well known to be asymptotically N(0,6 2). This paper develops asymptotic expansions to the distribution of this statistic under the assumption of a known unit variance. The correction term for the density is shown to be independent of d, so that the MLE is second-order pivotal for d. This feature of the MLE is unusual, at least in time series contexts. Simulations show that the normal approximation is poor and that the expansions can make a significant improvement in accuracy provided the correction terms are computed without further asymptotic approximation.This paper was commenced and revised while Lieberman was visiting the Cowles Foundation during 2000 2002. Lieberman thanks the Cowles Foundation for support and hospitality during this visit. Phillips thanks the NSF for support under grants SBR 97-30295 and SES 0092509.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466604203024
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 20 (2004)
Issue (Month): 03 (June)
Pages: 464-484
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:20:y:2004:i:03:p:464-484_20

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_ECT

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? Authors registered on the RePEc Author Service receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-24.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.