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Estimation of mis-specified long memory models

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  • 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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File URL: http://128.118.178.162/eps/em/papers/0501/0501004.pdf
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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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References

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  1. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  2. 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.
  3. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  4. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  5. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  6. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May.
  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. Deo, Rohit & Hurvich, Clifford & Lu, Yi, 2006. "Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 29-58.
  2. K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.

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