EconPapers    
Economics at your fingertips  
 

Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes

Wen-Jen Tsay ()

No 07-A011, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model considered in Andersen et al. (2003) for describing the behavior of realized volatility as one of its special case. We suggest an conditional likelihood Durbin-Levsinson (CLDL) algorithm which employs the multivariate Durbin-Levinson algorithm of Whittle (1963) to efficiently evaluate the conditional likelihood function of the VARFIMA processes exactly. The computational cost of implementing this algorithm is much lower than that proposed in Sowell (1989), thus allowing us to conduct a Monte Carlo experiment to investigate the finite sample performance of the CLDL algorithm for 3-dimensional VARFIMA processes under the moderate sample size up to 400. The simulation results are very satisfactory and reveal the great potential of using our method for characterizing the realized volatility in Andersen et al. (2003) and the spatial data studied in Haslett and Raftery (1989).

Keywords: Durbin-Levinson algorithm; Long memory; Maximum likelihood estimation; Multivariate time series (search for similar items in EconPapers)
JEL-codes: C31 C32 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-12
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.econ.sinica.edu.tw/upload/file/07-A011(all).2009120910505071.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 400 Bad Request

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:sin:wpaper:07-a011

Access Statistics for this paper

More papers in IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by HsiaoyunLiu ().

 
Page updated 2021-04-20
Handle: RePEc:sin:wpaper:07-a011