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Autoregression-Based Estimators for ARFIMA Models

  • John Galbraith
  • Victoria Zinde-Walsh

This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2

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File URL: http://www.cirano.qc.ca/files/publications/2001s-11.pdf
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Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-11.

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Length: 44 pages
Date of creation: 01 Feb 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-11
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  1. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  2. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  3. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  4. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  5. Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics 34, Federal Reserve Bank of Minneapolis.
  6. Chung, Ching-Fan, 1994. "A note on calculating the autocovariances of the fractionally integrated ARMA models," Economics Letters, Elsevier, vol. 45(3), pages 293-297.
  7. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
  8. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case," Cowles Foundation Discussion Papers 1265, Cowles Foundation for Research in Economics, Yale University.
  9. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
  10. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  11. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
  12. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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