LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

Gemai Chen, Bovas Abraham and Shelton Peiris

Journal of Time Series Analysis, 1994, vol. 15, issue 5, 473-487

Abstract: Abstract. In this paper we consider the estimation of the degree of differencing d in the fractionally integrated autoregressive moving‐average time series model ARFIMA (p, d, q). Using lag window spectral density estimators we develop a regression type estimator of d which is easy to calculate and does not require prior knowledge of p and q. Some large sample properties of the estimator are studied and the performance of the estimator for small samples is investigated using the simulation method for a range of commonly used lag windows. Some practical recommendations on the choice of lag windows and the choice of the window parameters are provided.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1994.tb00205.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:5:p:473-487

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().