The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes

S. D. Grose () and Donald Poskitt

No 15/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper investigates the empirical properties of autoregressive approximations to two classes of process for which the usual regularity conditions do not apply; namely the non-invertible and fractionally integrated processes considered in Poskitt (2006). In that paper the theoretical consequences of fitting long autoregressions under regularity conditions that allow for these two situations was considered, and convergence rates for the sample autocovariances and autoregressive coefficients established. We now consider the finite-sample properties of alternative estimators of the AR parameters of the approximating AR(h) process and corresponding estimates of the optimal approximating order h. The estimators considered include the Yule-Walker, Least Squares, and Burg estimators.

Keywords: Autoregression; autoregressive approximation; fractional process (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2006-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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