Indirect Estimation of Arfima and Varfima Models

Vance Martin and N.P. Wilkins

No 547, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator and the Geweke and Porter-Hudak (1983) spectral regression estimator.

Keywords: ECONOMETRICS; EVALUATION (search for similar items in EconPapers)
JEL-codes: C00 C10 C13 C20 C22 (search for similar items in EconPapers)
Pages: 38 pages
Date: 1997
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Journal Article: Indirect estimation of ARFIMA and VARFIMA models (1999)
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