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Sesgos en estimación, tamano y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA

Author

Listed:
  • Castano Vélez, Elkin
  • Gallón Gómez, Santiago Alejandro
  • Gómez Portilla, Karoll

Abstract

Resumen: Castano et al. (2008) proponen una prueba para investigar la existencia de memoria larga, basada en el parámetro de diferenciación fraccional de un modelo ARFIMA (p, d, q); se muestra que al usar una aproximación autorregresiva de orden igual al entero más próximo a p* = T1/3 para la componente de memoria corta, la prueba de la hipótesis nula de memoria corta contra la alternativa de memoria larga tiene, en general, mayor potencia que algunas otras pruebas conservando un tamano adecuado. Este estudio muestra los sesgos generados en la estimación del parámetro d y su efecto sobre la potencia y tamano de la prueba, cuando se ignora la componente de corto plazo y cuando se emplean modelos que no la aproximan adecuadamente. Adicionalmente, se analiza si los resultados obtenidos por Castano et al. (2008) pueden mejorarse empleando una aproximación autorregresiva diferente.

Suggested Citation

  • Castano Vélez, Elkin & Gallón Gómez, Santiago Alejandro & Gómez Portilla, Karoll, 2011. "Sesgos en estimación, tamano y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA," Revista Lecturas de Economía, Universidad de Antioquia, CIE, February.
    • Handle: RePEc:col:000174:008057
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    References listed on IDEAS

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    More about this item

    Keywords

    Prueba de hipótesis; modelos de series de tiempo;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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