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Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA

Author

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  • Ernest Pons Fanals
  • Jordi Surinach Caralt

    (Universitat de Barcelona)

Abstract

Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has been shown that, in particular circumstances, this estimator can be badly biased. So we propose a biased-corrected extension of that estimator using the exponential model proposed by Bloomfield. The performance of both estimators are investigated for moderate-size samples and it is concluded that the extension proposed has smaller mean squared error than the GPH estimator.

Suggested Citation

  • Ernest Pons Fanals & Jordi Surinach Caralt, 2000. "Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA," Working Papers in Economics 61, Universitat de Barcelona. Espai de Recerca en Economia.
  • Handle: RePEc:bar:bedcje:200061
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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