IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v27y2000i1p113-118.html
   My bibliography  Save this article

Modification of autoregressive fractionally integrated moving average models for the estimation of persistence

Author

Listed:
  • Erhard Reschenhofer

Abstract

In this paper, it is proposed to modify autoregressive fractionally integrated moving average (ARFIMA) processes by introducing an additional parameter to comply with the criticism of Hauser et al . (1999) that ARFIMA processes are not appropriate for the estimation of persistence, because of the degenerate behavior of their spectral densities at frequency zero. When fitting these modified ARFIMA processes to the US GNP, it turns out that the estimated spectra are very similar to those obtained with conventional ARFIMA models, indicating that, in this special case, the disadvantage of ARFIMA models cited by Hauser et al. (1999) does not seriously aff ect the estimation of persistence. However, according to the results of a goodness-of-fit test applied to the estimated spectra, both the ARFIMA models and the modified ARFIMA models seem to overfit the data in the neighborhood of frequency zero.

Suggested Citation

  • Erhard Reschenhofer, 2000. "Modification of autoregressive fractionally integrated moving average models for the estimation of persistence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(1), pages 113-118.
    • Handle: RePEc:taf:japsta:v:27:y:2000:i:1:p:113-118
    DOI: 10.1080/02664760021871
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/02664760021871
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664760021871?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:27:y:2000:i:1:p:113-118. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.