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Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries

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Author Info
Ramachandran, Rajalakshmi
Beaumont, Paul

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Abstract

We review the literature on long memory ARFIMA and GARMA models and introduce a new efficient estimator for GARMA models, which we show to be robust. Next we conduct a Monte Carlo study to demonstrate the power of the Dickie-Fuller test when the data are generated from a stationary GARMA process. We conclude with a brief discussion of cointegration in the context of GARMA models with an application to international interest rates. Copyright 2001 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 17 (2001)
Issue (Month): 2-3 (June)
Pages: 179-201
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Handle: RePEc:kap:compec:v:17:y:2001:i:2-3:p:179-201

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Web page: http://www.springerlink.com/link.asp?id=100248

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This page was last updated on 2009-12-10.

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