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Inference of Seasonal Long-memory Time Series with Measurement Error

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  • Henghsiu Tsai
  • Heiko Rachinger
  • Edward M.H. Lin

Abstract

type="main" xml:id="sjos12099-abs-0001"> We consider the Whittle likelihood estimation of seasonal autoregressive fractionally integrated moving-average models in the presence of an additional measurement error and show that the spectral maximum Whittle likelihood estimator is asymptotically normal. We illustrate by simulation that ignoring measurement errors may result in incorrect inference. Hence, it is pertinent to test for the presence of measurement errors, which we do by developing a likelihood ratio (LR) test within the framework of Whittle likelihood. We derive the non-standard asymptotic null distribution of this LR test and the limiting distribution of LR test under a sequence of local alternatives. Because in practice, we do not know the order of the seasonal autoregressive fractionally integrated moving-average model, we consider three modifications of the LR test that takes model uncertainty into account. We study the finite sample properties of the size and the power of the LR test and its modifications. The efficacy of the proposed approach is illustrated by a real-life example.

Suggested Citation

  • Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
  • Handle: RePEc:bla:scjsta:v:42:y:2015:i:1:p:137-154
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    File URL: http://hdl.handle.net/10.1111/sjos.12099
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    Cited by:

    1. Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
    3. repec:eee:matcom:v:146:y:2018:i:c:p:27-43 is not listed on IDEAS

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