Comparaison of several estimation procedures for long term behavior

Dominique Guegan (), Zhiping Lu () and BeiJia Zhu ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan
Zhiping Lu: East China Normal University (ECNU)
BeiJia Zhu: Centre d'Economie de la Sorbonne et East China Normal University (ECNU)

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Finite sample performance comparaison; Fourier frequency; GDP; non-stationary long memory time series; wavelet (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 84 pages
Date: 2012-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://mse.univ-paris1.fr/pub/mse/CES2012/12008.pdf (application/pdf)

Related works:
Working Paper: Comparaison of Several Estimation Procedures for Long Term Behavior (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:12008

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