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Indirect Estimation of Arfima and Varfima Models

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Author Info
Martin, V.L.
Wilkins, N.P.

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Abstract

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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Publisher Info
Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 547.

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Length: 38 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:mlb:wpaper:547

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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
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Web page: http://www.economics.unimelb.edu.au
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Related research
Keywords: ECONOMETRICS; EVALUATION;

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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

Cited by:
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  1. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society. [Downloadable!]
  2. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  3. John Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO. [Downloadable!]
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This page was last updated on 2009-11-3.

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