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Asymptotics of trend stationary fractionally integrated ARMA models

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  • Sang-Kuck Chung

Abstract

The main contribution of this study is to provide asymptotic results for MLE applied to the trend stationary ARFIMA model and to implement a detailed simulation study. For small sample sizes, the bias for the fractional parameter, d, can be quite substantial when the other parameters are also estimated simultaneously.

Suggested Citation

  • Sang-Kuck Chung, 2000. "Asymptotics of trend stationary fractionally integrated ARMA models," Applied Economics, Taylor & Francis Journals, vol. 32(12), pages 1509-1514.
    • Handle: RePEc:taf:applec:v:32:y:2000:i:12:p:1509-1514
    DOI: 10.1080/000368400418916
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    6. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
    7. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
    8. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
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    Cited by:

    1. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.

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