BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

Christos Agiakloglou, Paul Newbold and Mark Wohar ()

Journal of Time Series Analysis, 1993, vol. 14, issue 3, 235-246

Abstract: Abstract. An estimator of the difference parameter in a class of long‐memory time series models is examined. It is shown that, in particular circumstances, the estimator can be badly biased, and tests based on it consequently seriously misleading. The source of this bias is identified, and it is shown that its magnitude can readily be predicted through straightforward analytical arguments.

Date: 1993
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