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Convex combinations of long memory estimates from different sampling rates

Leonardo Souza, Jeremy Smith and Reinaldo Castro Souza

No 489, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of such estimates requires a preliminary correction for the bias observed at lower sampling rates, reported by Souza and Smith (2002). Through Monte Carlo simulations, we investigate the bias and the standard deviation of the combined estimates, as well as the root mean squared error (RMSE), which takes both into account. While comparing the results of standard methods and their combined versions, the latter achieve lower RMSE, for the two semi-parametric estimators under study (by about 30% on average for ARFIMA(0,d,0) series).

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-07-02
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Journal Article: Convex combinations of long memory estimates from different sampling rates (2006) Downloads
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