The Estimation of Continuous Parameter Long-Memory Time Series Models

Marcus J. Chambers

Econometric Theory, 1996, vol. 12, issue 02, pages 374-390

Abstract: A class of univariate fractional ARIMA models with a continuous time parameter is developed for the purpose of modeling long-memory time series. The spectral density of discretely observed data is derived for both point observations (stock variables) and integral observations (flow variables). A frequency domain maximum likelihood method is proposed for estimating the longmemory parameter and is shown to be consistent and asymptotically normally distributed, and some issues associated with the computation of the spectral density are explored.

Date: 1996

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:12:y:1996:i:02:p:374-390_00

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