Estimation of the memory parameter by fitting fractionally differenced autoregressive models

R.J. Bhansali, Liudas Giraitis () and P.S. Kokoszka

Journal of Multivariate Analysis, 2006, vol. 97, issue 10, 2101-2130

Abstract: Estimation of the memory parameter, d, by fitting a fractionally differenced autoregression of order p, where p approaches infinity simultaneously with the observed series length, n, is examined. Under some conditions on growth of p with respect to n and on the short-memory component, which admits an infinite autoregressive representation with coefficients aj, the estimator is shown to be consistent and asymptotically normal, where p may be taken to be proportional to logn. The joint asymptotic distribution of the estimators of d and of the aj is also derived.

Keywords: Long; memory; Autoregressive; estimation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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