Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries
We review the literature on long memory ARFIMA and GARMA models and introduce a new efficient estimator for GARMA models, which we show to be robust. Next we conduct a Monte Carlo study to demonstrate the power of the Dickie-Fuller test when the data are generated from a stationary GARMA process. We conclude with a brief discussion of cointegration in the context of GARMA models with an application to international interest rates. Copyright 2001 by Kluwer Academic Publishers
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Volume (Year): 17 (2001)
Issue (Month): 2-3 (June)
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