Error and Model Misspecification in ARFIMA Process

Valderio A. Reisen, Manoel R. Sena and Silvia R. C . Lopes

Brazilian Review of Econometrics, 2001, vol. 21, issue 1

Abstract: In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and invertible ARFIMA processes to the misspecification of the error distribution. In particular, we consider misspecification against heavy-tailed, skewed and bimodal distributions. The study is also extended for the incorrect ARFIMA specification.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:21:y:2001:i:1:a:3193

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