Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries

Rajalakshmi Ramachandran and Paul M. Beaumont ()

Computational Economics, 2001, vol. 17, issue 2-3, pages 179-201

Abstract: We review the literature on long memory ARFIMA and GARMA models and introduce a new efficient estimator for GARMA models, which we show to be robust. Next we conduct a Monte Carlo study to demonstrate the power of the Dickie-Fuller test when the data are generated from a stationary GARMA process. We conclude with a brief discussion of cointegration in the context of GARMA models with an application to international interest rates. Copyright 2001 by Kluwer Academic Publishers

Date: 2001

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Persistent link: http://EconPapers.repec.org/RePEc:kap:compec:v:17:y:2001:i:2-3:p:179-201

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