Parametric and Nonparametric Augmented GPH Estimation

N.P. Wilkins

No 551, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.

Keywords: EVALUATION; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C13 C20 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1997
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:551

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