Model Selection and Estimation of Long-Memory Time-Series Models
AbstractAn exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC and the multimodel-inference approach of Burnham and Anderson (2002) in estimating d. I contribute to the literature by studying high-order data generating processes; by testing the MMI-approach; and by studying the impact of excluding models close to the data generating process from the set of candidate models. Three findings stand out. First, in terms of order selection, the SIC outperforms the AIC for low-order models but underperforms for high-order models. Second, the SIC still dominates both the AIC and the MMI-approach for inference. Third, set-up snooping has little impact.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoArticle provided by Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen in its journal Review of Business and Economics.
Volume (Year): LIV (2009)
Issue (Month): 4 ()
model selection; inference; long memory; fractional integration;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Hilde Roos) The email address of this maintainer does not seem to be valid anymore. Please ask Hilde Roos to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.