Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models

Ching-Fan Chung and Richard Baillie

Empirical Economics, 1993, vol. 18, issue 4, 806 pages

Abstract: This paper considers estimation of the parameters for the fractionally integrated class of processes known as ARFIMA. We consider the small sample properties of a conditional sum-of-squares estimator that is asymptotically equivalent to MLE. This estimator has the advantage of being relatively simple and can estimate all the parameters, including the mean, simultaneously. The simulation evidence we present indicates that estimation of the mean can make a considerable difference to the small sample bias and MSE of the other parameter estimates.

Date: 1993
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