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Estimation of mis-specified long memory models

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Author Info

  • Willa Chen

    (Texas A&M University)

  • Rohit Deo

    (New York University)

Abstract

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in estimators of both long- and short-memory parameters that are slower than ãn consistent for the pseudo-true parameter values, which in general differ from the true values. The conditions under which this happens are provided and the asymptotic distribution of the estimators is shown to be non-Gaussian. Conditions under which estimators of the parameters of the mis-specified model have the standard ãn consistency for the pseudo-true values and are asymptotically normal are also provided.

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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0501004.

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Length: 24 pages
Date of creation: 11 Jan 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0501004

Note: Type of Document - pdf; pages: 24
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Web page: http://128.118.178.162

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Keywords: long memory; model mis-specification;

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  1. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  2. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  3. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  4. Chen, Willa W. & Deo, Rohit S., 2004. "A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models," Econometric Theory, Cambridge University Press, vol. 20(02), pages 382-416, April.
  5. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
  6. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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Cited by:
  1. Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, EconWPA.

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