Parametric and Nonparametric Augmented GPH Estimation
AbstractThis paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 551.
Length: 25 pages
Date of creation: 1997
Date of revision:
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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
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