Asymptotics of trend stationary fractionally integrated ARMA models

Sang-Kuck Chung

Applied Economics, 2000, vol. 32, issue 12, 1509-1514

Abstract: The main contribution of this study is to provide asymptotic results for MLE applied to the trend stationary ARFIMA model and to implement a detailed simulation study. For small sample sizes, the bias for the fractional parameter, d, can be quite substantial when the other parameters are also estimated simultaneously.

Date: 2000
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DOI: 10.1080/000368400418916

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