Autoregression-Based Estimators for ARFIMA Models

John Galbraith and Victoria Zinde-Walsh

CIRANO Working Papers from CIRANO

Abstract: This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2

Keywords: ARFIMA model; autoregression; fractional integration; long memory; Modèle ARFIMA; autorégression; intégration fractionnelle; mémoire longue (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2001-02-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://cirano.qc.ca/files/publications/2001s-11.pdf

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:cir:cirwor:2001s-11

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().