Comparaison of Several Estimation Procedures for Long Term Behavior

Dominique Guegan (), Zhiping Lu () and Beijia Zhu ()
Additional contact information
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Zhiping Lu: ECNU - ECNU - East China Normal University [Shangaï]
Beijia Zhu: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, ECNU - ECNU - East China Normal University [Shangaï]

Post-Print from HAL

Abstract: In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample performance of these estimation procedures for the non-stationary long memory time series. As a by-product of this study, we provide a bandwidth parameter selection strategy for the frequency domain estimation and an upper-and-lower scale trimming strategy for the wavelet domain estimation from a practical stand-point. The other objective of this paper is to give a useful reference to the applied reserachers and practitioners.

Keywords: Monte Carlo simulations; Long memory processes; wavelets; Monte Carlo simulations.; simulation de Monte Carlo.; Processus longue mémoire; ondelettes (search for similar items in EconPapers)
Date: 2012-02
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00673934v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 2012

Downloads: (external link)
https://shs.hal.science/halshs-00673934v1/document (application/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:hal:journl:halshs-00673934

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().