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Estimation of mis-specified long memory models

  • Willa Chen

    (Texas A&M University)

  • Rohit Deo

    (New York University)

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in estimators of both long- and short-memory parameters that are slower than ãn consistent for the pseudo-true parameter values, which in general differ from the true values. The conditions under which this happens are provided and the asymptotic distribution of the estimators is shown to be non-Gaussian. Conditions under which estimators of the parameters of the mis-specified model have the standard ãn consistency for the pseudo-true values and are asymptotically normal are also provided.

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File URL: http://econwpa.repec.org/eps/em/papers/0501/0501004.pdf
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Paper provided by EconWPA in its series Econometrics with number 0501004.

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Length: 24 pages
Date of creation: 11 Jan 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0501004
Note: Type of Document - pdf; pages: 24
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  2. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  3. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  4. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  5. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  6. Chen, Willa W. & Deo, Rohit S., 2004. "A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models," Econometric Theory, Cambridge University Press, vol. 20(02), pages 382-416, April.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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