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The Empirical Properties of Some Popular Estimators of Long Memory Processes

Jennifer Brown, Les Oxley (), William Rea and Marco Reale

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series. We compare and contrast their performance on simulated Fractional Gaussian Noises and fractionally integrated series with lengths between 100 and 10,000 data points and H values between 0.55 and 0.90 or d values between 0.05 and 0.40. We apply all 12 estimators to the Campito Mountain data and estimate the accuracy of their estimates using the Beran goodness of t test for long memory time series.

Keywords: Strong dependence; global dependence; long range dependence; Hurst parameter estimators (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2008-06-26
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