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Parametric and Nonparametric Augmented GPH Estimation

Author

Listed:
  • Wilkins, N.P.

Abstract

This paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.

Suggested Citation

  • Wilkins, N.P., 1997. "Parametric and Nonparametric Augmented GPH Estimation," Department of Economics - Working Papers Series 551, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:551
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    Citations

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    Cited by:

    1. Nilss Olekalns & Nigel Wilkins, 1998. "Re‐examining the Evidence for Long‐Run Purchasing Power Parity," The Economic Record, The Economic Society of Australia, vol. 74(224), pages 54-61, March.
    2. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.

    More about this item

    Keywords

    EVALUATION; ECONOMETRICS;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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