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
Volume (Year): 17 (2001)
Issue (Month): 2-3 (June)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=100248|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:17:y:2001:i:2-3:p:179-201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.