Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator and the Geweke and Porter-Hudak (1983) spectral regression estimator.
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Length: 38 pages Date of creation: 1997 Date of revision: Handle: RePEc:mlb:wpaper:547
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Find related papers by JEL classification: C00 - Mathematical and Quantitative Methods - - General - - - General C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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